According to this Microsoft Knowledge Base entry, there are registry entries for PPTP in SP2 that you may need...
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to set or update. Microsoft and others have noted that Windows XP SP2 introduced problems for VPNs, such as L2TP/IPsec, that require NAT traversal (NAT-T). While these problems shouldn't affect PPTP, PPTP is very insecure and you should consider upgrading to L2TP/IPsec if you have anything greater than casual security requirements. If you do decide to upgrade, see this Knowledge Base article for information on fixing the NAT-T problem.
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