Yes. I have written a guide over here.
http://forums.webhostautomation.com/viewto...light=vpn+howto
That is geared towards setting up a remote SQL db for Helm, but the procedure is exactly the same. You probably won't need file & printer sharing enabled over the connection.
If you're connecting form your home workstation, you can ignore the second half for the remote server and just use XP's nifty "Dial into VPN" thing-a-jig rather than trying to set up a persistent connection.