Here's how I did it:
1. Open Network and Dial-up Connections.
2. Double-click Make New Connection, and then click Next.
3. Click Connect to a private network through the Internet, and click Next.
4. Click Do not dial the initial connection, and then click Next.
5. Type the IP address of External IP Address of VPN Appliance and then click Next.
6. Click Only for myself, and then click Next.
7. Type the name “CompanyName VPN” for the connection, and then click Finish.
8. The “Connect Virtual Private Connection” dialog box opens.
9. Click the Properties button at the bottom of the dialog box.
10. Click the Options tab and check the “Include Windows Logon Domain”.
11. Click the Network tab and double click Internet Protocol (TCP/IP)
12. Click the Advanced button in the bottom right corner of the Internet Protocol (TCP/IP) Properties dialog box.
13. Advanced TCP/IP Settings dialog box
A. General tab - Uncheck the “Use default gateway on remote network” box.
B. DNS tab - Click the Add button and enter the DNS addresses of the DNS Server and click Add
C. WINS tab - Click the Add button and enter the WINS address of your WIN Server IP and click Add
D. Click the OK button
14. On the CompanyName VPN connection box fill in your username, password and the domain name and click Connect