Are you mad? Unless you know specifically who is wanting to connect and you've personally communicated with them about this very thing very recently, don't let it run.
If someone is connected via VPN to what is effectively your small home network, they may as well be sitting beside you because they will have access to potentially anything you have access to.
I would also recommend a thorough scan with som free anti-spyware like "Spybot - Search and Destroy" or "Ad-Aware" as there may already be something on your computer generating these pop-up requests.