According to this Microsoft Knowledge Base entry, there are registry entries for PPTP in SP2 that you may need 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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