Uh - yet again another "wonderful" thing related to Vista.
When wanting to create a VPN-connection, you might experience that this is not possible as the "Connect to a network" dialog box shows the Internet connection as disabled, even though you are having a perfect and live Internet connection!
It seems that Vista does at times not recognize the current connection for some reason. To mitigate that experience, you can actually start the VPN connection "manually" by entering the Network and Sharing Center. From here you can start the connection explicitly:
After doing this - you are having a perfect VPN-tunnel.