VPN

I have a 2000 server with sp2 and remote access installed. I’ve setup a VPN port that allows incoming and outgoing connections. When a users is on the LAN, not using VPN they can login and the script executes properly, but when they connect througth the internet the scripts files fells to run. The scipts file is in sysvol unders our domain. My question is why ther scripts file does not run and how can I make it run other then them browsing to the script file location an executing it from there?