Vpn connection from Windows XP

Hi,

Did anyone succeed in building a L2TP/IPSec based VPN between a windows
XP SP2 and a VPN Server (with some NAT in between) ?

Client -- Local Network Router (doing NAT) -- INTERNET -- VPN Server --
Private Network


I changed the default NAT-T behavior in the registry (as was told on
Microsoft Web site) but it didn't change anything
The IPSec tunnel cannot be built (it fails when beginning to communicate
on port 4500)

I am using a Linux VPN Server on the other side (Microsoft told that it
is ok on Windows 2003 Server but I hope it is also on Linux). Can this
be a problem ?

Thanks for any helps,

Franky