What software are you using to connect to the VPN?
Once connected does anything show up, Any windows, Icons?
Let us know
Did your administrator give you a name or path for the Z drive?
Usually your admin would give you a mapable drive we could use to conect to using an SMB command, However if you only have the Z drive to connect to could you try to open the finder and look where it says Macintosh HD, Network etc.. and let me know if you see an icon that says external?
Let me know
Are you connecting to a windows or mac server?
Do you know the server name, It should be something like whateverserver\Cdrive?
Can you find it out?
If so click the Finder icon in the Dock. then choose Connect to Server from the Go menu In the address field of the Connect to Server dialog, type the URL using this syntax smb://whateverserver/Cdrive/ and then click Connect.
One other thing to find out if you can is the IP range of your office network that the server is on.
That should work.
What is the IP you have?