Update;
I have also tried enableing the ah and esp options in sysctl with no luck, also interesting is that from behind the OpenBSD firewall as a XPPro client i can connect past it to the 2003 server (inside same network, from a virtual subnet) and i see GRE packets all over (so OpenBSD is sending GRE out fine? by keeping state?)
P.S. I did notice a couple of typo's but it is 6am
Umm I just noticed it's past 7 ...