Microsoft Knowledge Base Article 314076 contains the following summary:
This step-by-step article describes how to create a new VPN
connection in Microsoft Windows XP.
You can use a virtual private network (VPN) to connect components to one network by using another network, such as the Internet. Virtual private networks do this by "tunneling" through the Internet or another public network in a manner that provides the same security and features as a private network. With a VPN, connections across the public network can transfer data by using the routing infrastructure of the Internet, but to the user, the data seems to travel over a dedicated private link.