My exoerience has been that I've needed to connect to the internet (DSL or dial-up) and then use the VPN. The VPN connection is configured with host name of IP address of the VPN server. (I'm using Windows 2000 Professional so it might be different on other versions). On one of the tabs, you can configure the VPN connection to dial-up before trying to establish the VPN connection.

Hope that helps.