If your router supports VPN Passthrough you shouldn't need to open any ports. Just enable the type of VPN you are using. Otherwise it depends on the type of VPN you are setting up. I assume you are using XP's built-in VPN so that would be PPTP, and would use TCP port 1723. This does open up a security risk since you are effectively disabling the firewall on that port. If your router doesnt support VPN, this may or may not help, and it may not be possible to set it up. I've had good luck with the Linksys RV042 router for setting up VPN.