After someone said about the Microsoft VPN Server being locked to Microsoft clients, I decided to give it a further look. Long story short, it works fine! Here is how to do it:
I tested using an Ubuntu Live disk.
I went to "System" on the menu, then "Preferences" and then "Network Connections".
Select the "VPN" tab and add a new connection.
Type the address and username. You can type the password if you do not want to type it each time.
By default, Ubuntu does not use VPN encryption, so this option needs to be turned on under the advanced option.
Then, select the network menu near the top right hand corner, go down to VPN and connect.
If you have a Windows Server and have not set up VPN access yet, read this guide to get it going in less than five minutes!