I like to use a PPTP VPN in the Android emulator. My VPN provider is Witopia. The settings work on a real phone (HTC Desire).
It does not work, the connection just times
yes it is like kernal issue:
So I think you need custom kernel http://code.google.com/p/batterymine/wiki/BuildingInModuleSupport
Also you will need copy to emulator other modules: slhc.ko, ppp*.ko
Wipe data of emulator from device manager and restart emulator. I hope this will help.
I had the same problem with a 2.2 emulator. I switched to a 4.2 emulator and it is working fine through the VPN.