VPN connection over apache mod_proxy

What's happening is that you're effectively cutting off the IP route from the server to yourself - hence the RDP session loss. You can fix it by setting up the VPN in a way that it's bound to a second interface (physical or virtual) so that both the VPN and RDP link can coexist. How you do this depends enormously on a range of very detailed configurations that we don't know right now, so if you want help with this you'll have to come back to us with a LOT more information, just as much as you can please.

At some point, if you want to run a VPN over the Internet, there needs to be some kind of machine with an internet connection connected to the network.

It is possible to run a VPN server on your laptop's host OS directly, although I wouldn't recommend it for security reasons. Instead, consider installing a third VM just to act as a VPN server and router/firewall. Personally, I'd use something like pfSense for this purpose. (Make sure you get the 2.0 version, rather than the "VM Image" which last time I checked was still version 1.2 - 2.0 added better functionality for filtering VPN traffic among other things).

Your setup would look something like:

The pfSense VM would act as a firewall/router connected to the Internet and providing an OpenVPN server. The firewall rules would be configured so that the Windows 2003 Server VM has no access to make connections out onto the internet, and that incoming connections would also be blocked.

You would need to disable the IP stack of the host-only network interface used between the pfSense VM and the Windows 2003 Server VM on the Windows 7 Host machine to acheive this topology. Or perhaps there's some kind of functionality for VM-to-VM only networking in VMware Workstation that I'm overlooking.