VPN and 2003 server access

I am trying to set up a VPN to allow people to access a program on a 2003 server. It works when I use a computer that has Domain login capabilities. The vpn works and the program I am running works, But when I use computer that does not have domain, vpn works but program does not run. We don’t want to put domains on all computer. Is there a way to vpn in and then assign domain? Is there any script I can write to do this or is there another option?