There are a lot of VPN client softwares. Windows has a built in client and there are a bunch of third party products. For example Cisco VPN client.
The Cisco VPN client has an annoying feature: the VPN provider can decide if local network access is allowed or not. From a VPN provider perspective this is of course a good feature since it increases security. But from my perspective it is bad.
One good workaround: use another VPN client that is compatible with Cisco. I have tried and successfully used Shrew Soft VPN Client. It can import a Cisco VPN profile file (pcf-file). It can also be configured to override the VPN provider settings:
I got the tip from this post: http://serverfault.com/questions/126458/unable-to-access-local-network-when-cisco-vpn-client-is-connected