Hi Duki,
We set up a free VPN using PPTP in a Microsoft Windows Server environment with Active Directory.
Microsoft have a set of instructions for a setting up a VPN in a "Test Lab" scenario. It goes through how to set up the test lab all the way to dialing in.
You can download the instructions here: http://www.microsoft.com/downloads/details.aspx?FamilyID=58a8b58a-5655-4cc1-9d6a-91119b54ae0a&DisplayLang=en
If that link doesn't work, go to microsoft.com and search the downloads section for: step by step setting up vpn.
The instructions go through setting up PPTP (Point to Point Tunneling Protocol) and L2TP (Layer 2 Tunneling Protocol). PPTP is fine for most applications (and far simpler to set up than L2TP), but if you want to be extra secure, look into L2TP using digital certificates. Instructions for implementing both are provided in the document from Microsoft.
Make sure you configure your firewall properly, or it won't work. If you use PPTP, set your router/firewall to forward incoming traffic on port 1723 to the server you are using for VPN authentication.
Good luck with it!
Chris Fry