Virtual Private Network(VPN) allows you to create a protected/encrypted network between two machines using a tunnel, so other machines are not able to access this network. The VPN is created by one machine running a VPN client that connects to the other machine that is running a VPN server (RRAS).

For Win2k :

For WinXP : - HOW TO: Configure a Connection to a Virtual Private Network in Windows XP (MS KB314076)

For Win2k3 : - HOW TO: Allow Remote Users to Access Your Network in Windows Server 2003 (MS KB323381)

More Info MS KB241252

Related Microsoft L2TP/IPSec VPN Client