Hello @einarso,
Only you have to do is to select "mu-plugins" (ip-geo-block-mu.php) and “Save Changes”. Then this plugin automatically install it and you can find 'wp-content/mu-plugins/ip-geo-block-mu.php.
I do not know where and how I do this. I have already installed the plugin from my admin plugin installer, so it installed today as an ordinary plugin.
I do not know where and how I do this.
How do you know about must mu-plugins of this plugin? You can already visit at settings page of this plugin, can’t you?
Then you can find “Validation timing” at the bottom of “Validation settings” section on “Settings” tab of this plugin.

And only you have to do is to select "mu-plugins" (ip-geo-block-mu.php)

and “Save Changes”.
If you don’t understand what I’m saying, please forget about must use plugin. It’s just a means. The true purpose is to make this plugin’s priority high in order to reduce load on server.
Please refer to the document http://www.ipgeoblock.com/codex/validation-timing.html
And I’d improve the description on the settings page.
Thank you for asking and your feedback.
Sorry I didn’t get your point.
You can go to the settings page of this plugin from: Settings -> IP Geo Block