The lies in the routing table. By default once the VPN connection is formed the routing table is modified so that all outbound packets are sent to the VPN servers gateway address instead of your own gateway which would lead to the internet.
To correct this issue in Windows XP simply open the properties for the VPN connection (by right-clicking the VPN connection icon and choosing properties) and then select the "Networking" tab:
Next select "Internet Protocol (TCP/IP)" and press the properties button which opens a new window with TCP/IP properties, you will then need to click on advanced:
And finally we make it to the magic checkbox that will make your life easier. Uncheck "Use default gateway on remote network". One this has been disabled you should find that browsing the internet while also being connected to a VPN server is no longer issue.
Hope this helps! Haven't tried this under Vista, leave a comment and let me know if it is the same...