After fiddling around for quite a few hours i decided to try the MSI package instead and it worked fine right away!
So if anyone else get this problem, try installing the vpnclient-win-msi-x.x.x.x-xx.exe package instead of the ordinary installshield package.
I am having another problem now though, when you are using dual screen (extended desktop) the dialog for
user/password, that pops up after successful connect,
is not visible, its opened somewhere outside of my screens.
/Lasse