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Stuck out on site with a client, I couldn't connect to home via VPN. The client has a Cisco PIX and a quick bit of research showed that while the PIX will allow PPTP pass-through, it isn't enabled by default.

Apparently you need 6.3 of the PIX software, but then you can add the following command to the configuration and can then use the Windows VPN client:

fixup protocol pptp 1723

A quick change and I was able to connect home.
More information on Cisco's web site
You have to make a similar change if you need to go through a PIX with the Cisco VPN client to connect to a remote Cisco VPN server. In that case the command is:
ISAKMP NAT-TRAVERSAL
Another command that requires version 6.3 of the PIX software.