We have Setup
vpn.mysite.com and mysite.com to point to the same ip address which is one of our servers.
We are trying to setup IIS to have it redirect requests to vpn.mysite.com to one interal ip and just mysite.com to another internal ip.
The server that is handling this is the VPN server.
How would we go about setting this up in the DNS manager?
You do not. IIS can not redirect requests to an internal IP. This is not what IIS does. For that you need a program that does that, to start with.
As TomTom says in the comments - this requires a reverse proxy. So on the Microsoft side, any of:
Application Request Routing for IIS 7
Threat Management Gateway 2010
ISA Server 2006
UAG 2010
Could do the job.