Here it really depends on what you are trying to protect. Setting up a VPN is fairly secure for most companies needs but there are circumstances where it may not be secure enough. For instructions on how to setup a MS VPN look here
http://tinyurl.com/z5nzb
There are numerous articles that tell you how to do this and you can tailor any necessary search for information depending on your existing Configuration.
For directions for a PIX to PIX VPN you can try these sites
http://tinyurl.com/c4ddf
http://tinyurl.com/hzljx
http://tinyurl.com/z3tcd
http://tinyurl.com/hmwgk
http://tinyurl.com/hu97c
Any PIX to PIX has to run through Cisco Routers so if you don't already have the hardware or th budget for it you may want to go with a MS VPN as an option.
Col