How do I actually connect using my VPN connection?

I'm not very familiar with Pocket PCs but I need to configure my boss's
pocketpc so that he can use it to VPN into the office.

I think I've correctly created a VPN connection. I go to settings >
connections > connections > "edit my vpn servers", tap and hold on "My VPN"
and then select "connect". But nothing seems to happen.

When I try that while in the office I would expect some sort of message that
tells me that it wasn't able to connect.

I took it offsite to test. Still nothing seems to happen after selecting
"connect". But I know that I'm not actually connected because I'm not able
to connect to any network shares (although I can browse the internet).

What am I missing here? Any help will be appreciated.

(We have no trouble making VPN connections from our home PC's)