VPN does not connect you to a server, but rather another network. You can test the VPN connection simply by pinging a server on their network. Note that some VPN setups don't correctly setup the search domains for DNS for you, so you try the fully qualified name of the server that you are pinging (e.g., use 'server.company.com' instead of just 'server').
Start /Applications/Utilities/Network Utility.app
Click on the "Ping" tab.
Provide the IP address or full name of a server on the remote network.
Click the "Ping" button.
If everything is OK, you should see something like:
Ping has started…
PING server.company.com (192.168.1.1): 56 data bytes
64 bytes from 192.168.1.1: icmp_seq=0 ttl=61 time=0.396 ms
64 bytes from 192.168.1.1: icmp_seq=1 ttl=61 time=0.333 ms
64 bytes from 192.168.1.1: icmp_seq=2 ttl=61 time=0.414 ms
64 bytes from 192.168.1.1: icmp_seq=3 ttl=61 time=0.379 ms
64 bytes from 192.168.1.1: icmp_seq=4 ttl=61 time=0.278 ms
64 bytes from 192.168.1.1: icmp_seq=5 ttl=61 time=0.340 ms
64 bytes from 192.168.1.1: icmp_seq=6 ttl=61 time=0.484 ms
64 bytes from 192.168.1.1: icmp_seq=7 ttl=61 time=0.521 ms
64 bytes from 192.168.1.1: icmp_seq=8 ttl=61 time=0.345 ms
64 bytes from 192.168.1.1: icmp_seq=9 ttl=61 time=0.351 ms
--- server.company.com ping statistics ---
10 packets transmitted, 10 packets received, 0.0% packet loss
round-trip min/avg/max/stddev = 0.278/0.384/0.521/0.069 ms
If there's a problem, it will look more like:
Ping has started…
PING server.company.com (192.168.1.1): 56 data bytes
Request timeout for icmp_seq 0
Request timeout for icmp_seq 1
Request timeout for icmp_seq 2
Request timeout for icmp_seq 3
Request timeout for icmp_seq 4
Request timeout for icmp_seq 5
Request timeout for icmp_seq 6
Request timeout for icmp_seq 7
Request timeout for icmp_seq 8
Request timeout for icmp_seq 9
---server.company.com ping statistics ---
10 packets transmitted, 0 packets received, 100.0% packet loss