how to install on the virtual private server remotely?

hi, sorry for my poor English.
some people rent VPS and put their website on it, i am one of them.
how to install the firewall remotely?
my experiences tried in VM,
if install on windows xp remotely, after installation, it’s ok to configurate firewall policy before rebooting.
but if install on windows 2008 server remotely, all network traffic will be blocked while installing.
i don’t know why the results are different.
any solution?