The Windows VPN should work fine, we were very concerned about security as we had over 250,000 credit card numbers in our database and there were hackers always trying to get in.
You have the right idea to run the .exe locally and the speed will be better than what you were experiencing with pcAnywhere.

>I was going to use Windows VPN to make the connection and then use my application locally on the external users to read the Client network files.
>Do I need any more software or are you telling me that Windows VPN is not good enough? Any ideas on speed?