Ad-hoc translated from Dutch. Needs additional attention....
Open F-Secure from traybar.
Select Settings. A new window appears.
Select Network connections, select Firewall. Clik Add.
Enter for example GRE in Name field. Click Next.
Choose Any IP address. Click Next.
Scroll to GRE / Cisco Generic Routing Encapsulation Tunnel and select this item.
Now things become somewhat unclear, but click on the ? icon in this rule and Select <->. Click Next.
Select No warning. Clik Next.