Yes, you can for sure with Windows XP Professional. You might be able to do it with XP Home.
Setup an 'Advanced Connection' on your XP box and you should be able to follow the instructions from there.
On your Linksys, forward port 1723/TCP to your XP box and make sure PPTP forwarding is enabled.
I just did this a week ago but then ditched it for a linux-based solution when I found out XP Pro limits you to one VPN connection.
-- Joel