Wait, in your first post you said you could ping the Exchange server by IP and name.
When you are connected to the network via a hard wired connection you have no problems. Then you disconnect the LAN cable, get another internet connection (dial-up or whatever) and fire up the VPN software.
At this point (same login, same everything) you have access to some of the network, but not the Exchange server? What is the LAN end of your VPN (hardware router, MS RRAS server, softWAN server, etc?)
If you have NO ping or name resolution to the exchange server, but access to the rest of the network, check the VPN host, can you login locally to this and ping the Exchange server? If yes, use a packet sniffer on the LAN inside the VPN host and see if the VPN Exchange traffic is getting routed through.
Alex