I have recently created an Azure Virtual Network to test connectivity between a VM on Azure with a client server on premise (point-to-site connection).
First I followed the tutorial here: https://azure.microsoft.com/documentation/articles/vpn-gateway-point-to-site-create/
Next, I provisioned another VM on Azure but not part of the Virtual Network. I downloaded the AMD64 Client VPN Package and installed it onto this VM and connected to the VPN. The connection was successful and I could point my browser to the VM1's IIS that was created within the virtual network.
Finally, I downloaded the x86 Client VPN Package and installed it onto my local machine running Windows 7 and tried to connect via VPN. Instead, I got the error: A certificate chain processed, but terminated in a root certificate which is not trusted by the trust provider. (Error 0x800b0109) For customized troubleshooting information for this connection, click Help.
The logs are:
Operating System : Windows NT 6.1 Service Pack 1
Dialer Version : 7.2.7600.16385
Connection Name : TestVirtualNetwork
All Users/Single User : Single User
Start Date/Time : 01/05/2013, 23:02:34
Module Name, Time, Log ID, Log Item Name, Other Info
For Connection Type, 0=dial-up, 1=VPN, 2=VPN over dial-up
[cmdial32] 23:02:34 22 Clear Log Event
[cmdial32] 23:02:36 04 Pre-Connect Event ConnectionType = 1
[cmdial32] 23:02:36 06 Pre-Tunnel Event UserName = TestClientCert Domain = DUNSetting = TestVirtualNetwork Tunnel DeviceName = WAN Miniport (SSTP) TunnelAddress = azuregateway-66437671-fb05-4fac-83a7-1ae2313d717f-0.cloudapp.net
[cmdial32] 23:02:37 21 On-Error Event ErrorCode = -2146762487 ErrorSource = RAS