Make sure you're using a correct SME username and password. Also, there are quite a few encryption and authentication options in the VPN connection, some of which are proprietary MS things. You may need to fiddle with enabling/disabling some of these options to get the connection to work. I don't remember what you do and don't need, so I can't help much more than that right now...
One other thing is software firewalls. I've had some block VPN connections, even after closing the program. It wouldn't work right until the firewall was completely uninstalled. If you're running ZoneAlarm or something, that could be another issue...