edge - can you make any recommendations for a light weight software firewall?
The one included in Windows is pretty good, actually, as is the Linux one (iptables). I'd recommend just sticking with these.
I'm assuming this only really works on our VPS because of the web based VNC you have in the control panel?
You could configure a firewall on a machine without VNC, as well, but the VNC is nice because it allows you to go in and fix any mistake