Your configuration seems to be ok to me...
Error 800 usually means that there's a problem with authentication and it's mostly caused by the presence of a firewall or badly configured VPN accounts or outdated router firmware. Read more about it
here and
here. What kind of VPN are you trying to establish? Microsoft's PPTP or IPsec? Have you set up VPN user accounts and the needed protocols correctly? Microsoft has a step-by-step guide on how to enable and use IPSec
here. Also, make sure that your router has the latest firmware installed.
You might want to check if VPN is blocked somehow.... read through
this article from Microsoft. PPTP Ping referred in that article can be found
here. The most likely cause that it may be blocked is the SP2 firewall... make sure it's disabled (I think it's enabled automatically when you setup VPN) and disable all other firewalls that you may have in your server and client just in case... for example, older versions of ZoneAlarm didn't support VPN correctly, so VPN refused to work with ZA, even with all the relevant ports open
You might want to check for some more VPN troubleshooting
here.
Hope that helped