The truth is that physical access trumps almost any encryption scheme. I would assume that your contract with the colocation company makes them liable for any theft of data resulting from someone getting physical access to the server. That is about the best you can do.
Bitlocker does indeed encrypt the entire disk, however, there are other encryption software available (such as PGP and its many associated descendants). You will have to consider the performance impacts of decrypting and encrypting a file on the fly (and of course, the reality that the .exe will be unencrypted while it is actually executing in resident memory).
Ultimately, if the contents of the file is so sensitive that you are worried about physical access, you should probably consider pulling that particular server back onsite where you control physical access and only the employees of your company have ready access.