At first it seemed not possible to set up a VPN connection for my Surface (running Windows 8 RT). I was told it was not supported and when you go thought the setting there is indeed nothing for it in any of the menus.
Luckily I met someone I came to talk to someone during lunch who had managed to set up VPN. This is how you do it:
Swipe in the panel from the right, choose search and type: VPN
Yes, It’s that simple!
Choose the option “Set up a virtual private network (VPN) connection” and you’ll end up in the following Desktop screen:
After creating the VPN connection you’ll see it as one of your networks. Press and hold to bring up the option: View Connection Properties
This allows you to further configure your VPN.
Since I’m not an experts on VPN itself I will not go into more details. My goal was only to tell you that VPN is supported and this is where you find it!