Setting up a VPN

I am having a few problems setting up a VPN. I am running SBS 4.5 with MS Proxy and a Firewall. Could someone please explain the best way I could set a VPN up. I only need it for no more then 4-5 users. When I try to connect i reiceve this error “The remote computer refused the VPN connection” I assume this is something to do with the proxy or firewall? But I do not know how to open a port in MS Proxy. Please Help