Proxy Server 2.0 does work with VPN. In fact, it has some pre-defined filters in the WinSock Proxy to allow VPN packets in and out. If you right-click on WinSock Proxy in the Internet Service Manager and go to Properties then click the Security button you can look at the filters. If you click to add a filter and look at predefined filters you will see that there are options for PPTP receive and PPTP send. You can also set these manually and you can also set them manually if you are using L2TP and IPSec.