IMPORTANT:
1- Your windows firewall must be OFF! (Control Panel>Windows Firewall).
2- Make sure your other security software (like antivirus) allowed to VPN.
3- Vista & Seven users: Please disable UAC before installing VPN: Open up Control Panel, and type in "UAC" into the search box. You'll see a link for "Turn User Account Control (UAC) on or off":
4- You should try both protocols PPTP and L2TP/IPSec to find out which protocol could work for you.