When you start using a VPN service like ibVPN or HideMyAss, the first thing you have to do is to set up a VPN connection. Here is a short tutorial that shows how to set up VPN connections on Windows XP. Future posts will show how to do this on Vista and Windows 7. Learn about Windows XP VPN.
Windows XP VPN: How to setup a VPN connection
1. Open the Windows Control Panel.
2. Open the Network Connections item in Control Panel. A list of existing dial-up and LAN connections will appear.
3. Then choose the ‘Create a new connection’ item from the left-hand side of the window. The Windows XP New Connection Wizard will appear on the screen. 
4. First, click Next to begin the wizard, then choose the ‘Connect to the network at my workplace’ item from the list and click Next.
5. On the Network Connection page of the wizard, choose the ‘Virtual Private Network connection’ option and click Next.
6. Enter a name for the new VPN connection in the ‘Company Name’ field and click Next. The name chosen need not match the name of an actual business.
7. Choose an option on the ‘Public Network’ screen and click Next. The default option, ‘Automatically dial this initial connection’ can be used if the VPN connection will always be initiated when the computer is not already connected to the Internet. Otherwise, choose the ‘Do not dial the initial connection’ option. This option requires that the public Internet connection is established first before this new VPN connection will be initiated.
8. Enter the name or IP address of the VPN remote access server to connect to, and click Next. Company network administrators will provide this information.
9. Choose an option on the “Connection Availability” screen and click Next. The default option, ‘My Use Only,’ ensures that Windows will make this new connection available only to the currently logged on user. Otherwise, choose the ‘Anyone’s use’ option.
10. Click Finish to complete the wizard. The new VPN connection information has been saved.
Important! In order to be able to set up a VPN connection, you need the hostname and/or IP address of the VPN remote access server.
It might be easier just to use a commercial proxy service. There are a number of them out there and they tend to be simple to use. Over the years I’ve used three web based proxies, Proxify, MegaProxy and The Cloak. I’ve also used software based proxies such as Private Proxy and Anonymizer.
hi,How to use certificates for authentication in vpn connection using windows xp?