I use SSH and VNC; CopSSH is good and free SSH server for windows - if you want to pay cash then WinSSHD is an amazingly well coded and thought out SSH server. Then you can tunnel a VNC connection over the secure SSH connection. But that is NOT "zero-configuration"!
Regarding the connection - I believe they negotiate initially via the server which ports they can tunnel their protocol through, though more details would be nice. The point is they are very clear and open about their security mechanism and encryption. It would be easy to check their claim that there is no traffic to their servers using ethereal...