At first, I thought I cannot connect VPN before logging in to Windows Server 2008 R2. But then I figured out that there are a couple of things one must do to use the dial-up connection before login.
1. Create a VPN connection and during connection setup, make sure you have selected “Allow other people to use this connection”.
2. After log-off from current user, hit “Switch User” button and look at the Right Bottom of the screen where you should see a button. Click that and it will ask you VPN credentials. Enter credentials and that’s it! You are in!