This problem has cursed me on and off for years, and finally someone has shown me the light (thanks Eiren).
On the VPN connection Properties dialog, on the Network tab, select Internet Protocol (TCP/IP) then click Properties. On the TCP/IP Properties dialog click on the Advanced button. Make sure the check box for 'Use default gateway on remote network' is unselected.
Note that for this change to take affect you'll need to reconnect if you're already connected to the VPN.
HTH
Tim