Setting up a VPN is pretty straight forward under OSX. But I'm not sure that is actually what you are trying to do. It seems that you are trying to Remote Desktop to your PC at work. The following instructions assume that you are connecting to a Windows PC at work.
There are a couple of things you will need in order to do that. First you will need to know what kind of VPN your workplace has. If it is L2TP or PPTP you are good to go. Otherwise you will need to get the appropriate VPN client from the VPN vendor (Cisco or Nortel or whomever).
In the case of L2TP or PPTP, simply go to Settings->Network. Click the '+' button to add a new network interface. And choose VPN from the drop down. Choose the correct VPN type and give it a name. Then a new interface will appear in your network interface list. Choose that interface and on the right hand side fill in your VPN gateway address (get that from your network admin). And your username.
You will also need to enable remote desktop access on your work PC. And the full name of your work PC including the domain.
Then download the OSX version of Remote Desktop Client from microsoft.
Once you have that set up, connect to the VPN, and run Remote Desktop Client. Put in the fully qualified name of your work PC and you should be connected.
