OK, thanks much for the quick reply. I think I finally figured it out with your help.
I had been going to the ESET main menu page and clicking on Enter Advanced Setup... and then expanding Network, then Personal Firewall, then selecting Learning Mode and that was when it was grayed out.
But if I first go to the Personal Firewall choice and change the Filtering Mode setting from the default Interactive Mode to the Learning mode, I can then go to the Learning Mode page and the settings can be changed.
That is pretty obtuse but I guess it has to be that way.
Now that I can see what the settings choices are on the Learning Mode page I'm confused as to the choices that would be right for setting up an OpenVPN connection. That would seem to require rules for both Inbound and Outbound communications but I have to choose one or the other...
I think I'll install the OpenVPN package with ESET at the default Learning Mode settings and see what happens...
Thanks again for the help.
Jack