I too had the same problem, which I have managed to solve.
Server
OS - Windows 2000 Server
Firewall - ISA Server 2000
NIC 1 - DMZ
Alcatel Speedtouch 300 - BB Internet Connection
Client
OS - Windows 2000 Pro
Firewall - Zone Alarm Pro
Dial Up Adapter - Internet Connection
I first installed the VPN and created the appropriate packet filters for the firewall to allow communication on port 1723.
Then I tested the connection by creating a VPN connection to the external (Internet) facing IP address, all was fine the connection authenticated and I was connected to the VPN.
The next thing was to try and access the VPN from home. I set the firewall to allow the connections, then the VPN connection as before pointing to the external IP address, however upon trying to connect I was faced with the dreaded 721 error as above.
I thought that it may possibly have been a problem with the client configuration as it seemed to work fine at the server end.
From this point I took the client to the site so that I could test the configurations at both ends. Upon arriving at the site I checked through the VPN Server and all appeared fine. The first thing I wanted to do was to connect the client so that I could watch what was happening at the server end, so I connected to the VPN connection created earlier and to my astonishment, it connected all ok. I could peruse the network etc and all was working fine.
I took the client back home, thinking that all was ok, maybe some setting had taken a little bit longer to set itself. Upon connecting the client up back at home, I connected to the afore mentioned VPN connection once again, and was greeted with a 721 error.
I was at a loss, everytime I dialled from site it worked, everytime from home it hadn't, I was using the same software/hardware at both sites. So where could the problem lie - That set me thinking about the telephone lines and the differences - On my home line I have a private number (the number doesn't show/Witheld) where as on site its sent. Although I didn;t think it should make any difference to the VPN connection, as my Internet connection is allready established before. I changed the dial up for the net connection to include 1470 at the beginning. Re-dialled the net connection, and attempted to connect to the VPN again, it worked!
I know it may be a little of subject from the original post, but it might not be, as some hotels / businesses often use a PBX style telephone system that depending on which outgoing line you get, doesn't send the phone number which could cause the above 721 error, just a thought but maybe.
Hopefully this will help someone as it appears that there are a lot of people that have tried to set this up to no avail, and the phone line is not always the first thing that pops in ya mind