Automatic VPN at login (Domain)

We have a remote domain user running Vista Business. They are setup
with the Connect to Small Business Server default VPN, put there by
the /connectcomputer process.

Everything works fine.

However, I want them to connect to the VPN automatically when they
login, and not have to do it as a second step. I haven't been able to
find out to do this.

The closest I've gotten is:
Create another VPN connection,
Share it to all users,
Have user click on "Other User" at login screen
Click blue icon (lower-right corner)
Connect to VPN created in step 1.

However, because their credentials are cached, when they first click
CTRL+ALT+DEL, the user name is already filled in, so they tend to
login there. Of course, then they call the helpdesk wondering why they
can't get to the network resources!

Any help here? A script to automate the VPN login, or a setting that
I'm missing?

Thank you!

Chester