I get those messages too. There are three options:
1. Pay the courier company to take care of customs.
2. Go to the customs office and do it yourself. I remember discussing with a customs officer what category a Soekris net4501 really was. ;)
3. Return the parcel.
The good news is that Amazon, Ebay, Aliexpress and some others deal with it now. Anyone who sells via Ebay can have the customs stuff processed by Ebay for a much more reasonable fee.