Using WinXP, Cisco anyconnect VPN client here.
Problem: VPN doesn't connect / Connects but "actually" not connected.
Setting to be done on the router:
Here are the steps. Step 1 is probably not needed but I am posting it just in case. Only Step 2 should fix it.
[1] Go to advanced tab > Advanced Port Forwarding Rules (http://192.168.0.1/adv_port.php) and configure like this:
http://i.imgur.com/TVeIU.png ; Click save settings.
[2] Now go to FIREWALL & DMZ SETTINGS (http://192.168.0.1/adv_firewall.php) and configure like this:
http://i.imgur.com/5Uvyd.png (1st 2 entries are present if you've done step 1, the 2rd entry has to be done manually); Click save settings.
Tadaa!
Note: It's UDP-443 with Anyconnect, maybe a different port for a different VPN client. Find that and configure accordingly.
Reply back if this worked with anybody else.