I use the built-in VPN Client in Windows 98, ME, 2000, XP & 2003 as well as the VPN Client in Windows Mobile 2003, 5.0 & 6.0 to connect to Cisco IOS Routers and Cisco PIX Firewalls using both PPTP & L2TP/IPSec. It took me a while to get the configurations perfect and the client requirements (Certificates or shared-keys) but it is now a breeze.
I always wonder why so many people install 3rd party VPN clients when the Native one in Windows does the job perfectly?
HTH
Andy