Connect to Windows Server Shared Drive via VPN

The first and most important part is you need to setup your Mac to connect to the same VPN server as the Windows laptops. You don't give any details about the type of VPN system being used but as examples if they are using a Cisco VPN server with the Cisco AnyConnect client you would need to install the Mac version of the Cisco AnyConnect client, similarly for a Juniper system and so on. Depending on the type of VPN system there is also the possibility to use the Macs own built-in VPN client.

Once you have got your Mac successfully connecting to the VPN then you would use the 'Connect to Server' dialog box in the 'Connect' menu in the Finder on your Mac. You would then enter the address of the server e.g. smb://fileserver.domain.com

Note: Using a domain name method like smb://fileserver.domain.com presumes that your IT department has correctly setup the VPN system to tell your Mac to use your internal DNS server when connected via the VPN. If they have not done this properly you might have to connect using the TCP/IP numeric address e.g. smb://192.168.1.10

I am not personally familiar with Microsoft own VPN server but a search suggests that it does PPTP, L2TP, and IKEv2 and also something called SSTP.

Microsoft do not produce a VPN client for Macs but a Mac running Sierra can in theory connect to L2TP or IKEv2 using the built-in Apple VPN client. Sierra no longer supports PPTP. (PPTP is considered to old and insecure to be trusted anymore.)

There are two main types of VPN authentication that would be applicable, either using certificates or a pre-shared-key. I seem to recall seeing reports when Sierra first came out that its IKEv2 had problems, I don't know if this still applies. Beyond the main difference of certificates or PSK, there are more subtle differences like CHAP, PAP, and so on. This also might be an area where possible compatibility issues can creep in.

You need to find out the settings of their VPN server, i.e. address, your login details, whether they use a certificate or PSK, etc. and set up the built-in VPN client to match. Once you have got the VPN working then trying pinging the file server. Once that is working then try logging in to the file server as previously discussed either with a DNS style address or IP address if that does not work. Assuming as discussed they have correctly setup their VPN server to tell clients to use their internal DNS server correctly then it can take a few seconds before the Mac recognises this.