Can I run a VPN service on a server that run as a Web Server that is hosting several websites?
Can I use both VPN and Application server on same Windows 2008 server? I have just one public IP address.
The reason is that I have to disable remote SQL connections, and some users may want access to the SQL Server. I can run VPN service, then these users can login to VPN and connect to SQL server as a local connection.
Is this possible?
Yes. VPNs and HTTP/HTTPS use totally different ports, so while your websites are running on :80 your VPNs (IPSec, L2TP, PPTP, whichever flavour you go for) will happily run side by side.
However, if remote SQL Server access is your end goal, this is a very broad way of going about it. Once they have VPN access to your server, without proper configuration and firewalls, they're going to be able to access every resource on your server. This is why most VPNs are handled by a seperate firewall, so that you can control what and where VPN users go.
Another solution may be to set up your firewall to only permit SQL server access from remote hosts that require it, by filtering it by IP address.