Logging into domain via VPN - XP and Windows 7

Actually, it's pretty simple:

First, you need to create your VPN connectoid on your XP / Vista / Win7 PC.
When you create the VPN connectoid, make sure you check the option to make
the VPN connection available to all users.

Now, when a user is remote and is looking at the login screen, they can
establish the VPN connection before actually logging in. The process is
slightly different between XP & Vista / Win7.

On XP: Hit Ctrl+Alt+Del to enter username & password. Click the "Options"
button, then click the option to Connect via Dial-Up Networking. This will
give you a list of global dial-up connections on the PC (including VPN
connections). Select the VPN connection you want, enter credentials for
that VPN connection and Windows will establish the VPN connection, THEN
process the user login - allowing the remote user to log in to the domain
directly.

On Vista / Win7: Hit Ctrl+Alt+Del. Windows will show you the last user who
logged in. Click the "Change User" button (even if the listed user is the
correct user). As soon as you click the Change User button - you will
notice a new Network Login button appears in the bottom right corner of the
screen next to the power button. Click the Network Login button - if only
one global VPN connection is defined, it will ask you for username &
password for that VPN connection, otherwise you will get a list of VPN
connections to pick which one you want to use. Enter the credentials for
the VPN and Windows will establish the VPN prior to processing the user
login, allowing the remote user to log in to the domain directly.


src: http://www.vistax64.com/sbs-server/253619-mapping-networked-drive-letter-over-vpn.html#post1163566