Note: This is over a wireless connection, over a wired connection, things work just fine.
I did it! I finally got settings worked out to be able to VPN into work from home with my Virtual Machine (running XP) on my Vista system.
First, I had to set the Virtual Machine to use NAT connections, not Bridged.
Second, I had to go into the Network Connections, and make sure that the VMWare Network Adapters to a Private Network, NOT Public.
Third, I had to connect to the VPN via Vista, NOT inside of the VM (as I previously had to do when I was hard wired in)
Fourth, I had to use Microsoft's Firewall Client for ISA server in Vista (the host machine) in order to get Internet access (though, this step will depend on your network).
Fifth, I also had to set the proxy server directly in IE inside the VM so that I can get internet access via the VM.