I read that there is an option in Windows XP and with the Cisco VPN client to logon to the VPN before logging into the machine; is it possible to connect to the VPN using the SonicWall VPN client prior to logging into a Windows 7 machine?
There is not. The only way to accomplish this would be to set this ability globally for all VPN clients which is not a good idea as it relies on cached credentials. That said, if you really, really want to do this (again, not recommended!):
VPN > Settings > WAN GroupVPN > Configure
Click the Client tab
Change the "Cache XAUTH User Name and Password Client" dropdown from "Never" to "Always"
Instructions copied from here.
If you're using the SonicWall NetExtender (SSL VPN) client, then yes - you can connect to VPN before logging on to the domain.
After the NetExtender client is installed, you should see an additional icon appear on the logon screen, at the bottom right - I think it's next to the left of the power icon. Enter your login details as usual, then instead of clicking the arrow next to your details, click the VPN button at the bottom right. It will prompt you for the server name, username, password and domain for your VPN. Fill that in, click connect and then it'll connect via VPN before it authenticates your logon.