Core issue
The error appears because the SSL VPN Client (SVC) fails to initiate a connection.
This happens because of ActiveX install/download problems on Windows Vista with Microsoft Internet Explorer 7. Windows Vista is shipped with Internet Explorer 7, which has an entirely new model that deals with ActiveX. Aside from the differences in ActiveX, the networking stack has been rewritten and the routing table is different. There are a few other quirks that can affect the client as well.
Resolution
SVC is not compatible or supported on Windows Vista with the Internet Explorer 7 browser as of now.
The workaround is to use supported platforms such as Windows XP with Internet Explorer 7.
