Ok - not set up a VPN using the WRV200 - but apparently you can download third party firmware that will allow you to set up a PPTP server on the device....
"I've started doing a small video series at linksysinfo.org to demonstrate how to set up vpn on the linksys wrv200 and wrv54g. I'll probably do one on the wrvs4400n in the near future; nothing fantastic, just how to get the tunnels going.
Go to ยป
www.linksysinfo.org and sign up for a free account. Once you get it, go back to the site and click on the "downloads" link, "linksys info videos," and look for the "wrv200-wrv54g" vpn configuration video tutorial. This will take you through setup step by step.
The firmware version is old, which should give you an idea it was a while ago when I did this, but the setup procedure doesn't change."
taken from:
http://www.dslreports.com/forum/r18498728-vpn-not-connectingThe alternative is to set up an extra box on your LAN and configure it as an OpenVPN server -
http://www.openvpn.net/
