Virtual Private Network

[GamerAyers]

I have a friend who would like to do a VPN solution with me so we can share files and also play network only games. (non-internet)  I know that Linux-mce has a VPN server inside of it, but I don't know if it can be used to have a router (say a cisco or sonicwall) to connect to it, or if even an XP computer can connect to it.  If so, How would I set it up?  Thanks.