VPN connection in Startup folder doesn't work

I created a VPN network connection that I want to launch
automatically when the admin logs in to the server, but
when I put the shortcut to the connection in the Startup
folder, it isn't launched when I logon. Nothting happens.
I have to manual launch the connection.

Is there some security restriction that I am unaware of?
The server is configured as a domain controller in our
network.

I've created the VPN shortcut in the Startup folder on XP
workstations, and they work fine. Any suggestions would
be appreciated.