The first question you need to ask is what flavor of VPN are you using? There is more than one version. There is IPSec and L2TP. Microsoft supports L2TP. Were I work we do not allow L2TP. If you need IPSec and not L2TP, see this thread with a client that supports it
http://www.aximsite.com/boards/showthread.php?t=67793.
If you need L2TP, then there is another problem with L2TP that will not let it work through NAT (Network Address Translation). This is what I think all Cable/DSL routers do. The router has a "real" IP addresses and the PCs on the back side use "private" IP addresses. I have heard some devices now support Pass Through on L2TP, but I have neever checked.