I've become highly annoyed with the 'Connect to a Network' dialog in Vista and Windows 2008. It seems if you have any 'extra' NICs such as a loopback, virtual adapters, etc -- it totally confuses the 'Connect to a Network' dialog. You'll notice the 'VPN to Work' is showing a 'Red X' despite the 'Network and Sharing Center' showing an active internet connection.
If I disable the extra adapters, then the dialog works as expected. Hard to believe this wasn't fixed in SP1. I've confirmed this behavior in Vista 32bit, Vista SP1 32bit, and Windows 2008 64bit.
The workaround of course is to open 'Network and Sharing Center' (ncpa.cpl) and connect from the entry listed there -- but that doesn't reduce my annoyance :)
gaurhoth