Question : setting up vpn

I am new to the world of networking. Exactly how do you set up a vpn. Do you need to go through someone or is this something that can be setup on your own. I do own a firewall that says
FVS318 ProSafe VPN Firewall netgear. I am not sure if that will help. This is for my home..

any ideas would be appreciated.

Answer : setting up vpn

adilkhan, sorry for my kinda harsh language there.. I just had to point it out! :-)
Yes and no, it depends of the setup of the DMZ.
PCanywhere provides a kind of lookalike DMZ as far as i know, it will only accnowledge PCA traffic and nothing else. (this is what differs from a DMZ witch is totally open.)
Usually the best setup is to route accepted traffic through the firewall.. this will only leave selected ports open a give a lot more controllable enviroment with only accepted traffic.

Still, the protection of a HW firewall is the one i would suggest since its available.
The only setup needed in the router is to open for traffic on:
TCP port 1723 (PPTP) and IP Protocol 47 (GRE).
(if IpSec is used also TCP port 500)

As a option if no luck with anything else you could leave the PC in DMZ with a good SW-FW on the PC, that would do the trick.
(this is as far as i know the most used setup in private networks, and Zonealarm is a good option for a firewall.)