Windows – Make a VPN connection only for RDP

It could be a keepalive issue.

RDP doesn't send traffic unless it has to, and it could be that your connection thinks nothing is happening and closing.

On the RDP server (assumes server 2003):

1. Click Start, click Run, type gpedit.msc, and then click OK.
2. Expand Computer Configuration, expand Administrative Templates, expand Windows Components, and then click Terminal Services.
3. In the right pane, double-click Keep-Alive Connections.
4. Click Enabled, and then click OK.
5. Close Group Policy Object Editor, click OK, and then quit Active Directory Users and Computers.

http://support.microsoft.com/kb/216783

I guess this might be fixed by simply disabling the option "Use default gateway on remote network" of the Windows VPN client. In XP that was hidden in the properties of your VPN network, tabsheet "Networking", "Internet Protocol (TCP/IP)", clicking "Properties", and finally clicking "Advanced".

That also means that most other traffic is no longer routed through the VPN. This includes browsing of websites, fetching email through POP or IMAP, and so on.

(However, it is enabled by default for a reason: it makes it a bit harder for malware to keep or reestablish connections once VPN is started, if the VPN administrator has blocked their network for such threats. Also, a company's policy might not allow you to disable it.)