Remotely Installing a Firewall via TSC - Help!

Hello list

I would appreciate veteran experience and opinions on a problem I currently 
face.

I am required to set up a server for a community I am involved in. The server 
is a commercially hosted box and will run Windows 2000 Server. I have no 
physical access, and will do all work via a Terminal Services Client connection.

I want to install a firewall asap but realise that doing this via a Terminal 
Server connection is not simple. For one thing, Im pretty sure I will get 
disconnected and blocked by default as soon as I activate the firewall.

The host will not install this for me.

What options do I have for doing this? Is there any clever method to allow me 
to do this? Are there any particular software firewalls that can be configured 
via some easily editable files so I can enable TS traffic to pass through 
before activating the firewall?

I would love to hear your thoughts and comments, and any particular opinions on 
software you believe most suitable.

Many many thanks.

ps - have googled for this extensively and could not find any helpful resources.