There are many guides on the internet about how to setup various types of VPN.
This quick guide and script will get you running a PPTP type VPN from which you can natively connect to from windows.
You must have Centos 5.7 (32 bit) running on your VPS for this script to work
As root:
#wget www.onepoundwebhosting.co.uk/linux/pptp.sh
#sh pptp.sh
Once the scripts has finished it will display a username and the generated password.
The login details can be changed by editing the chap-secrets files
#nano /etc/ppp/chap-secrets
if you change any of the details you will need to issue a restart to the pptp server
#service pptpd restart