I have 2 computers (a desktop and a laptop) connected to a wireless broadband
router (Level One WBR-2400TX) via LAN - not WiFi. It says in the manual that

'VPN Pass through Support. PCs with VPN (Virtual Private Networking)
software using PPTP, L2TP and IPSec are transparently supported - no
configuration is required.'

I even have my own hostname to use my internet connection ip address.

Put the laptop aside. I have set up an 'Incoming Connections' on my desktop
(Windows XP Pro SP2). I created a username and password for testing purposes.
I tried on my friend's computer (XP SP2) to establish a VPN but I failed.
It's written there

error 800 (Unable to establish the VPN connection. The VPN server may be
unreachable, or security parameters may not be configured properly for this
connection.).

How can I fix this problem? Thank you.