Error using VPN and Dameware from client PC to internet

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I have the proxy working just fine with all client PC's being authenticated and configured the advanced networking with the ports for PC Anywhere and Dameware for connections from the internet to wingate or lan pc's.

The problem is if I want to connect from a client PC to a PC in another domain. First let me explain the setup.

I have the ISP feeding a router who in turn feeds a switch who feeds the proxy server and watchguard. The proxy has it's own public IP, Subnet, Gateway and ISP's DNS servers. The client PC's use wingate to access the internet and nothing else, they also access the mail server which is on another machine.

I want to VPN to another domain and use dameware to connect to any of their machines. I have done this in the past but until now I never had a proxy server. I am able to VPN to another domain but the problem is when I try to connect with dameware, after I connect with VPN first, I receive a message telling me that a connect request was made on an already connected socket. Then it gives the host's IP.

I don't know how to configure wingate network settings so I can connect via VPN and dameware. Or how can I tell the client PC to not go through wingate when connecting via VPN?

Thanks.