Well I suppose I would need more information.
1) What kind of client? PPTP, L2TP, VPN Client 3000 or Unified PVN Client 3.x? If you want the unified client 3.x than it is really simple. Do a search for "router ipsec VPN client" on the cisco website. The 806 is no different than any other router.
2) Are you getting a dynamic IP address for the outside interface of the 806? If you are, then how are you planning on the VPN Clients knowing that dynamic address? If it is a static address, this is a non-issue
3) How many clients do you want to connect to it? Depending on encryption level, you will not be able to get very many connections before the 806 is brought to it's knees. I don't have the exact numbers, but i would say the following is going to be pretty accurate.
3DES - 1 Connection (maybe)
DES - Max 2 or 3
Remember the 806 was designed as a "hardware VPN Client" not an IPSec temination point. The processor is not very powerful on it.