From DD-WRT Wiki
A VPN (Virtual Private Network) is a virtual tunnel through the internet to your local area network. This allows you to not only use local network resources, such as printers or file servers, from anywhere you have an internet connection but also gives you a safe tunnel to browse the web through. Using a VPN you can browse web sites from a free access point at a hotel without worrying about others seeing your data. This is also a common way to bypass web content filters. Another solution for VPN would be setting up and configuring OpenVPN to better fit you needs
For more information see the Wikipedia article on VPNs
 VPN with PPTP
On DD-WRT, go to the Administration->Services and set PPTP server to active, save the changes, then set the IP of router (192.168.1.1) for the server IP, and under Client IP(s) set a range for connections. (192.168.1.20-29 for example of a ten client set up)
Under Chap Secret put in
username * password * for example:
testmachine * password1234 * ( The "*" are NOT a Placeholder, they must be there ! ) Use no capital letters. Also avoid using the # character since this breaks pptp. (This also applies to the router administration password that is included by default in the password file for pptpd.)
Now on your PC select Create new Connection under Control Panel -> Network Connections. Select Connect to Network at my Workplace, then select Virtual Private Connection, give it a name (home link). Select what applies, dial up or LAN. Type the WAN IP address of your router, it must be static address or an address through DynDNS.org or the likes. (Thanks loxza)
Then at connect window, type the username and password you used earlier under Chap Secret (in our example:
testmachine:password1234). Use no capital letters.
If you have followed the above steps and still cannot connect to the VPN, try forwarding the PPTP Port (1723) with TCP protocol to the LAN IP Address of your router (i.e. 192.168.1.1). Although it seems like this is a weird approach since you are using your router to forward to itself, it often times allows the VPN connection to suceed.
For more information on setting up a VPN connection in Windows XP see this article.
For other Windows versions see this link.
If you have Problems to see your Network Neighbourhood or Programs like VNC and Remote Desktop are not working, then you should Disable the Loopback Adapter under Administration -> Management in your Router. If this does not work, then it is also useful to edit your new VPN Connection under Properties -> TCP/IP -> Advanced -> and select Use Standard Gateway of the Remote Network. With this Option you are fully inside the Router's Network, all Traffic include your Surfing is then over your VPN Connect. With both Settings, you are fully integrated in the Remote LAN.