I'm running windows XP and have configured a VPN connection to my work. However after the connection is established the default gateway changes from 10.0.0.1 (my DSL router) to some other IP address on the remote network. Because of this any internet browser I bring up locally goes across the VPN and uses the gateway on the remote network (very slow).

I've tried unchecking the "Use default gateway on remote network" box in the Advanced TCP/IP settings for the VPN network configuration, but after doing that, I cannot access any machines on the remote network.

Is there a way I can add an explicit route on my XP machine to get this to work?

To allow you to be connected to their network and yet be able to use an internet connection that is not under their control is a security risk for the company. It can be a huge pain if you're working from home and can't access your personal email or if you have a faster internet connection than you're company and you need to download a big file.
First thing to do would be to talk to the network administrator and see if there's something that he/she can do.
Also, if you have another computer at home an they're networked, you can use remote desktop to get to the other computer and do what you need to on that box.

Yes, the entire point of the VPN is that you are connected to the target network just as if you were physically on site. That means you will be using their router, their dns servers, etc.. etc.. It is not practical to change this behavior, nor is it wise, though it may be possible depending on the type of VPN being used.

We also block external network access while connected to the VPN. It is too much of a security risk to allow. Much money and time is spent safeguarding against all types of harmful content to allow a non-filtered connection from the Internet to a personal computer and then to the network via VPN.