Error 806: a connection between your computer and the VPN server has been established but the VPN connection cannot be completed. The most common cause for this is that there is at least one internet device between your computer and the VPN server is not configured to allow GRE protocol packets Verify that protocol 47 GRE is allowed on all personal firewall devices or routers. if the problem persists, contact your administrator.
A firewall or your ISP is blocking your VPN access. Please try connecting with both PPTP and L2TP. Please also see the similar error 807.