Well fuck me running, finally figured it out.
I go into Control Panel, Firewall Settings, and it is turned off ( I knew it was off, but just wanted to double check).
Well, I still thought some how shit was getting blocked, since I was able to connect and get the DNS servers from the VPN server. I go into My Network Places --> Properties, there are two icons under LAN or High Speed Internet. One is a 1394 connection, the other is Local Area Connection. I went into properties on both, then Advanced, Internet Settings and the fucken Windows Firewall was on for the Local Area Connection one. Turned it off and it fucken works!
Why the fuck does the control panel firewall not turn that fucker off there too? It looks like the 1394 adapter is what the control panel uses, strange as there are no packets sent/recieved on it.
Googled what a 1394 adapter is, stupid firewire port. No wonder it has not been used, I have no firewire connections
They've done studies you know.... 60% of the time, it works every time