Question : Problem: setup a VPN connection from Win XP to a Linksys VPN router.

How do i set up XP to connect to a Linksys BEFVP41 VPN router?

I have used the VPN COnnection Wizard. it does not create a proper connection.

Answer : Problem: setup a VPN connection from Win XP to a Linksys VPN router.

The problem with the BEFVP41 is it supports IPSec VPN tunnels, but not PPTP. IPSec is more secure but not compatible with the basic Windows VPN client which uses PPTP (Point to Point tunneling Protocol). This not to be confused with the fact that the BEFVP41 does support VPN pass-through (se option 3). So you have a few options:
1) As outlined above, or there are other clients that should work such as the GreenBow:  http://www.thegreenbow.com/vpn.html  Although you have to pay for this client, it is a little easier to set up. Instructions can be found:  http://www.thegreenbow.fr/doc/tgbvpn_cg_LinksysBEFVP41_en.pdf
2) You can use a different router that comes with it's own VPN client. These are available from WatchGuard, SonicWall, NetScreen, CheckPoint, Netgear, Linksys, D-Link, Cisco and others. Cisco is undoubtedly the best in many ways, but of course more expensive. The two most affordable are likely the Linksys RV042 (my favorite) and the Netgear FVS318. The Linksys allows 28-50 VPN tunnels, software or hardware to hardware (depending of the firmware version).  It has by far the easies client set up and there are no licensing fees, at least not until you hit a high number of users and they are very reasonable. Although I have never had any problems, some have had problems in some locations, to get the Linksys QuickVPN client to connect. The Netgear seems to be easier to connect but far more complicated to set up. They also charge for licensing. Most of the professional VPN routers, even though they may be more complicated to configure, allow you to create install packages for your users making it very easy for them to initiate a connection.
3) You can also use the built in Windows VPN server. If you have a standard PC it will only allow 1 user to connect, however if you set up the VPN server on a Windows server the only limit to the number of simultaneous users is your Windows client licenses, and bandwidth. Though not quite as secure as an IPSec solution, like all of the above, it is still quite secure. The other weak link, though a minimal risk is the requirement to open/forward 1 port on your router. If interested in this option have a look at the following site, you will find detailed links as to how to set up the server and client end, for various operating systems:
http://www.onecomputerguy.com/networking.htm
You will also have to configure port forwarding for port 1723 and on the BEFVP41 and enable PPTP pass-through. See the following for forwarding details:
http://www.portforward.com/english/routers/port_forwarding/Linksys/BEFSR41-v3-v4-v5/Point-to-Point_Tunneling_Protocol.htm

For any of the above you can use a DDNS service if you have a dynamic IP, though it is best if at least the server end has a static IP.