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>The VPN capabilities of Windows XP work fine.  There is no additional software required.
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>How do you load VPN of Windows XP? I looked at Accessories -> Communications on my PC but can't see VPN there.
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>Any suggestion?

Click on Start > Control Panel > Network Connections. On the left hand side, click on Create a new connection. One of the options is "Virtual Private Network". Follow the prompts.