If it didn't do anything then you probably can't use it. This only applies to a standard windows RAS VPN connection. It basically gives you the option of logging into a Network before authenticating. That network can be anything that you set up in your Control Panel -> Network Connections, it could be an ISDN dial-up, a VPN connection or even a wireless network.
When setting up the VPN connection did it give you the option to set it up just for yourself or "For all users"? In this case you should select "For All Users" for the connection to show up on the logon screen.