You can VPN into your W2K server behind a LinkSys router... it is not a problem.
The LinkSys router uses NAT... you will need to set it up with your external ip address and your internal ip address. The server will need to have a static ip address that is in your internal (non-routeable -- 192.168.1.x) network. You will only be able to VPN into the one box... because a limitation of these DSL Broadband routers is a one-to-one ip NAT (there are ways around this with additional software).
You must setup the VPN communication ports for necessary traffic on the LinkSys router (ip address of the server and the vpn ports that use will need to open). Each VPN client requires specific ports to be opened on the firewall side. Port 47 for UDP and TCP must be opened and there are others...
see:
http://support.microsoft.com/search/preview.aspx?scid=kb;en-us;Q325264