If you want to connect a Windows XP pro workstation to a business domain network when your workstation is in a different location to your server, do as follows:

Server:

• Create a user and configure it to allow remote (vpn) connection.

Windows XP Pro Workstation:

• Make the following changes to the registry making sure you take a registry backup first - If you don't know how to access the registry you can look it up.
  To modify the behavior of RAS when logging off, change or add the value of the following registry key:
  HKLM\Software\Microsoft\Windows NT\CurrentVersion\Winlogon
  KeepRasConnections REG_SZ
  Value - 1
  
  NOTE: Range: 0 or 1, Default: 0 (disabled)
  
  You should restart the computer after making this change.

• Create a VPN Connection and connect to the server.

• Add the computer to the domain using the manual method.  This will prompt you to restart which must be done, but to save a little time you could add the user you will be logging onto the computer with to the administrators group from Control Panel -> Users.

• After restart login as the local user -> re-establish the vpn connection -> log off as the local user -> log on as the domain user -> proceed with other client installation requirements.

The information in this article has been taken from Microsoft KB158909 article.

NOTE: Changing the KeepRasConnections registry key to remain connected after you log off from a RAS client is not supported in Windows Vista."