Dedicated server

Hi, I have a cheap and cheerful dedicated server for personal use (web pages, ftp and game hosting) it uses windows 2003 via remote desktop. Unfortunately windows 2003 firewall seems a little poor and I would like to add a better firewall. Is comodo free suitable as it is for personal non commercial use for me and my friends on a dedicated win 2003 server?

If so how do i install it without the next time I try to connect remotely a message popping up asking to allow connection to a computer with no one there to answer!

Please help my knowledge doesnt go very far and my server company want to charge too much money for answers!