I have recently created an Azure Virtual Network to test connectivity between a VM on Azure with a client server on premise (point-to-site connection).
First I followed the tutorial here: https://azure.microsoft.com/documentation/articles/vpn-gateway-point-to-site-create/
Next, I provisioned another VM on Azure but not part of the Virtual Network. I downloaded the AMD64 Client VPN Package and installed it onto this VM and connected to the VPN. The connection was successful and I could point my browser to the VM1's IIS that was created within the virtual network.
Finally, I downloaded the x86 Client VPN Package and installed it onto my local machine running Windows 7 and tried to connect via VPN. Instead, I got the error: A certificate chain processed, but terminated in a root certificate which is not trusted by the trust provider. (Error 0x800b0109) For customized troubleshooting information for this connection, click Help.
The logs are:
Operating System : Windows NT 6.1 Service Pack 1
Dialer Version : 7.2.7600.16385
Connection Name : TestVirtualNetwork
All Users/Single User : Single User
Start Date/Time : 01/05/2013, 23:02:34
Module Name, Time, Log ID, Log Item Name, Other Info
For Connection Type, 0=dial-up, 1=VPN, 2=VPN over dial-up
[cmdial32] 23:02:34 22 Clear Log Event
[cmdial32] 23:02:36 04 Pre-Connect Event ConnectionType = 1
[cmdial32] 23:02:36 06 Pre-Tunnel Event UserName = TestClientCert Domain = DUNSetting = TestVirtualNetwork Tunnel DeviceName = WAN Miniport (SSTP) TunnelAddress = azuregateway-66437671-fb05-4fac-83a7-1ae2313d717f-0.cloudapp.net
[cmdial32] 23:02:37 21 On-Error Event ErrorCode = -2146762487 ErrorSource = RAS
I was experiencing the same issue and came across this blog post describing what appears to be a bug in the VPN installer generated by Azure site:
https://nbevans.wordpress.com/2014/03/01/point-to-site-p2s-azure-vpn/
Effectively, the issue is that there is an additional certificate needed to trust the Azure gateway for your virtual network. That cert is bundled inside the VPN installer .exe generated by the Azure Virtual Network page.
This will likely be needed on all clients you intend to connect to the virtual network.