Expect's interface is a little weird, but once you get it working it should be pretty easy. Something like the following should work:

use Expect;
system('exit');

my $exp = Expect->new;
$exp->spawn( 
   'vpnclient.exe connect "VPN NAME" user "username" pwd "password"' 
);

$exp->expect( 10, [ qr/Do you wish to continue/i => 
    sub { $exp->send('y'); $exp->exp_continue; } ] );
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