For establishing a VPN connection in the call-back type, a VPN server establishes an always-on connection through a unique protocol different from the electronic mail delivery system. A client generates a client authentication data used for the client authentication implemented by the VPN server, and establishes the relay server through the unique protocol to transmit the client authentication data. The relay server device relays the client authentication data to the VPN server through the unique protocol. The VPN server implements the client authentication based on the relayed data. The VPN server establishes the VPN connection with the client based on the result of the authentication.