If you start the Windows Firewall service, all inbound connections, including your Remote Desktop session will also be blocked, and you will not be able to connect to your VPS any more.
To get around this, copy the following into a batch file (.bat) and execute it:
echo Enabling Windows Firewall
netsh firewall set opmode enable
echo Allowing Remote Desktop
netsh firewall set portopening protocol=TCP port=3389
You can then use Windows Firewall in your Windows Control Panel to configure the firewall as required.