Windows Server 2003 comes with 2 firewalls, Windows Firewall and the basic firewall in routing and remote access. No need to pile more code on the machine and cause yourself more problems. If you intend to use the server as an "online workstation" then you should set up a regular user account and only use the Administrator account for server maintenence.
Well I do know Agnitum Outpost Firewall Pro is pretty good, I believe you can even give it a try for 30 days free if you want to check out the features it has; chances are it will require a reboot and might block your ports. Your best bet would be to either get the company that is supply your server to either set it up for you and configure it properly to allow you remote access or get a KVM switch set up to your server.
This would be a solution on any firewall you may choose.