If you are using Windows 7 Firewall with outbound traffic restrictions, you may run into problems if you attempt to use a VPN service, receiving Error 809. I block all outbound traffic that does not match an existing rule by default, and ran into some trouble attempting to connect to my VPN.
(NOTE: The instructions below assume some familiarity with modifying rules in the Windows 7 Firewall. If you need some further direction, see this guide, and start at step #4.)
To use an L2TP - based VPN, you must create a rule to allow outbound UDP connections on port 1701. You should apply this to the Private and Public profiles (Domain should not be necessary - but if this fails, try Domain as well).
To use a PPTP - based VPN, the same applies, however you must allow TCP port 1723.
To use an IPSec - based VPN, the same applies, however you must allow UDP port 500.
Some router / protocol combinations may also require that you modify router settings to allow them. My D-Link DIR-625 has a specific "tick-box" to allow certain protocols, such as PPTP. Your best bet if you use a router is to consult your router manual / your router's settings if opening your port locally is not successful.