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Use app remotely via VPN?

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I'm guessing you don't have a terminal server. If you could use one that would be by far the best option - much easier, no authentication problems, and it would be fast (running any app over VPN is likely to be painfully slow). If you do have a terminal server, check out RemoteApp.

Where do you set the VPN users passwords? Are you manually setting them on the Sonicwall (to be the same as their AD passwords)? If so this will be the problem - the users have authenticated against the Sonicwall instead of against AD. I've never used a Sonicwall and don't have general expertise in VPN routers, but presume this is the problem that enabling LDAP on the Sonicwall is meant to fix. I can only assume it is incorrectly configured. Hopefully someone else can give you troubleshooting tips in this area.

As a test though I would enable VPN on one of your Windows servers. Test VPNing directly in and authenticating directly against AD. Does you app run properly this way? If so, is it acceptably fast? If not then you'll need to get a terminal server anyway.