You need to provide more detail. In general you can set up a basic VPN connection in your network settings but if you are trying to access (like I am) a company VPN running on Cisco hardware that uses both a pre-shared key and a user name/pswd combo you are out of luck (There used to be two cisco style vpn clients for Windows mobile but one is no longer around and the other seems to be completely unresponsive).
A GLARING oversight for Windows Mobile in my opinion especially since the iPhone can do this since the first rev of the software.