Is there any such new fangled invention out there to allow VPN access through GPRS connections?

This is something I am very interested in. Unfortunately there is not currently a VPN client that works on the windows SmartPhone platform. Maybe when Magneto is released it will include it, since supposedly they will use the same core OS as the PocketPC.

There is a limited one built into the WM2003 OS.

Start -> Settings -> Data Connections -> Menu -> Edit Connections -> VPN Connections.

Setting this up is fairly complicated. In order to connect you need to set up "Work URL Exceptions" so when you try and connect to one of these locations the phone knows to connect to your VPN connection.

I haven't managed to get this working 100% and it is something that has fallen to the wayside on my projects list, but one of these days I will get back to it.

Just got my MPx220 this week and was looking at the stuff that comes with it. There was a small "flyer" in the box touting something called Cingular Xpress (or Express). Service is through Cingular, but the flyer mentioned getting your email from POP accounts as well as your corporate Exchange account even if it's behind a firewall. When I looked at the CD that came with the phone there was nothing about this on it. I'm still looking into this as we need to VPN in order to check our corp email account as well as my wife check her corp Exchange account.
Have you heard of this Cingular Xpress?

Sorry for the shotty info - I'll return with better info once I investigate.