In Selfish Gene, behavioural genes

Dawkins discusses that a "gene that causes a behaviour" could be selected for. I want to know how genes can cause a behaviour. If genes code for proteins, how can proteins cause a behaviour?

Dawkins is a pretty astute guy, I really don't think he literally believes there's any single "gene that causes a behavior." He was not intending for that phrase to be taken literally in the way you have framed it in your question. To date, we know of no single gene that can do so. Based on current understanding, a given behavior is likely to be the end result of expression of numerous genes which interact in a complex fashion--ion transporters, neurotransmitter receptors, neurotransmitter synthetic enzymes, signal transduction intermediates--e.g. kinases, phosphatases, etc. At the cellular level, we're talking about whole networks of neurons and their metabolic support cells [glia], which interact in ways that for most sophisticated behaviors, are not well understood. There are a few simple behaviors in simple organisms whose molecular mechanisms and underlying genes have been elucidated--e.g. rudimentary learning/memory pathways in sea slugs (see the Nobel Prize-winning work of Eric Kandel), but at present, much of the genetic basis for behavior in humans is uncharacterized and poorly understood.

Mostly it's fairly complicated, but the gene "genderblind" in Drosophila produces pretty dramatic responses and seems to be based on a single gene It results in alteration of the protein which changes the transport of glutamate in glial cells and thus changes the strength of a excitatory signal in the brain in this way. Which leads to flies not being able to distinguish between male and female flies any more, because they can't smell the difference.

Short version:
A mutation in Genderblind alters the sexual behavior of Drosophila, turning the flies bisexual.Drosophila given drugs to alter synapse strength, independent of the Genderblind mutation, allowed researchers to "turn fly homosexuality on and off, within hours".The researchers believe this effect is due to the flies' altered response to pheromones.

"Period", a gene which regulates how a courtship song in Drosophila sounds is also an example, though I don't know if somebody knows how it works.