I like to use a PPTP VPN in the Android emulator. My VPN provider is Witopia. The settings work on a real phone (HTC Desire).
It does not work, the connection just times
yes it is like kernal issue:
So I think you need custom kernel http://code.google.com/p/batterymine/wiki/BuildingInModuleSupport
Also you will need copy to emulator other modules: slhc.ko, ppp*.ko