ipsec or gre tunnel between vms in different locations.

Hi all,

I'm want to create ipsec  or gre tunnel between two vms placed in different affinity groups, since they are in different affinity groups they can't see each other. I want to create ipsec or gre tunnel. I'm getting error while connecting. I doubt on end points. currently windows support only TCP and UDP protocols.  I opened 500 port for TCP/UDP and 4500 for TCP/UDP. Is there any thing more need to be done at end points or Azure Load Balance does't support ipsec or gre tunnels at all.

If not please let me know what i need to do. I have to have two machine in different affinity groups and they both should talk via ipsec/gre tunnel.

Please help me to sort this thing.

thanks in advance.