I don't have Win98 anymore, but if I remember correctly... I think it is only on Win98SE.
Go to the "add/remove programs" in control panel
Go to the add windows components tab.
I think it is either in the communication section or the networking section there is a "VPN server" selection.
After you select that, you will need to go into dial-up networking and activate VPN server. It is on one of the pull down menus in dial-up networking.
I hope that helps. Now, if you find it, and install this server on win98, don't get your hopes up. I tried it for a while. I got tired of all the bad connections, and the hanging up the connection all the time. The setting up of security is no piece of cake either. I gave up and setup a VPN server on WinNT, then on Win2K. Even then, it was very complicated. Be aware that if you have a router on your system, you will need to open some ports in order for the VPN to work.