have you contacted you ISP to see if they are blocking any ports or possible the GRE protocol ? Also, did you add or change any LAN rules ?
Roy...
Yes, I believe too that the problem lies in GRE.
However usually quality ISPs won't block such protocols.
It could be a problem caused by some cheap SOHO router on the other end that allows only UDP/TCP, or maybe a corporate equipment that won't allow GRE on purpose.
Try other locations to connect from.