If your router/firewall supports PPTP/LT2P pass-through, you should have no troubles connecting. Many routers/firewalls handle PPTP and L2TP connections fine even though they do not explicitly advertise pass-through capability.

To be able to allow VPN protocols manually on your router/firewall you must set up to allow outbound connections on TCP port 1723 and IP protocol 47 (GRE) for PPTP, UDP port 500, 1701 and 4500 and IP protocol 50 (ESP) for L2TP.

To be able to use OpenVPN protocol your router or firewall must allow outbound tcp ports 80(http), 443(https), 992, 1194, 8888 and udp ports 53(dns), 80, 992, 1194 and 8888.

To be able to use SSTP protocol your router or firewall must allow outbound tcp port 443 (https port).This, by default, is the HTTPS port, used for accessing secure websites.

To be able to use SSH Tunnel/Socks proxy your router or firewall must allow outbound tcp port 22.