SBS 2003 File permissions / VPN

Is he getting an error message? If it is a permissions issue he should get a message not grayed out. If receiving a message please post it here. Keep in mind individual user folders may be set up with only the user having exclusive rights to the folder. In that case the domain admins group must take possession of the folder.
Often inability to open a folder, especially one that contains many files, or opening a large file is due to to high an MTU value for the connection.
As a test try from the SBS LAN connecting to the VPN using the LAN IP of the SBS. If he can then open them it shouldn't be a permissions issue. If you want to try experimenting with the MTU the following is from an earlier post of mine:

Dropped connections or not being able to open files or folders can often be caused by too high an MTU (Maximum Transmission Unit) size, especially if it is a lower than normal performance connection. It is recommended you change this on the connecting/client computer and when possible, it's local router. The easiest way to change the MTU on the client is using the DrTCP tool:
http://www.dslreports.com/drtcp
As for where to set it, if not using automatic, it has to be 1430 or less for a Windows VPN which uses PPTP if using the basic client (1460 for L2TP). There are ways to test for the optimum size of the MTU such as:
http://www.dslreports.com/faq/5793
However, this is not accurate over a VPN due to additional overhead. The best bet is to set it to 1300, and if it improves the situation, gradually increase it.
A couple of related links:
http://www.dslreports.com/faq/7752
http://www.chicagotech.net/vpnissues/vpndorp1.htm

The directory hes trying to access is the users/shares/all the folders here. He can always get in his folder but the rest are greyed out. At least most of the time. Every now and then he can get in them. If the MTU was an issue would he still be able to access his folder all the time?

>>"If the MTU was an issue would he still be able to access his folder all the time? "
Possibly if he had only a few files compared to the others. MTU is most often recognizable when you cannot open large files or folders.

Can he access these folders from the LAN side with his user name? This sounds like the owners have sole ownership of their own folder, which is quite common to provide privacy, even from admins.

He has the most files out of everyone. Should I try domain admin taking ownership?

Sounds like permissions/ownership then.
Do the individual users currently have ownership? If so you probably cannot add the domain admin permissions without taking ownership. Make sure when prompted to copy or replace permissions you choose copy, you can then add domain admin. If you choose replace it will cause all sorts of chaos. Try on one test account first to see if it resolves the problem.

Keep in mind domain admins are not normally given the right to see users' personal My Documents and such because of privacy. Be sure you are not defeating any company policies by gaining access to these files.

OK ownership of the folder/sub-folder is (administrator) I am assuming its that way by default. I added him to the admin group to see if this work. I will know later this afternoon. He is the CEO of the company so he should have access to everything.

>>"OK ownership of the folder/sub-folder is (administrator)"
Administrator, or Administrators
If Administrator adding to administrators group won't likely help.

Rob, thank you for your help so far. Wanted to also let you know that when hes at the office he can get into all the folders no problem. This only happens when he is vpn.

That means it's not a permissions issue.
Is there any chance the drive mapping when using the VPN is using different credentials? Sometimes when folks use a VPN they set up a little batch file to use with the VPN that includes credentials like:
net use x:  \\Server\Share  password  /USER:domain\username
if that was done with different credentials it would dis-allow connection. Still if that were the case you should get an error message not grayed out.
Very odd.

Yeah no log in scripts. This is a clean install of windows 7. I am leaning towards the crappy linksys vpn router.

I don't know why they would be grayed out only for some folders if a router or connection issue.