I plan to run a web server on a Windows VPS. I want to secure the machine with a firewall, and I thought to open only ports 80 and 3389 (to connect with RDP). Is this a good choice? And what do you suggest as a simple firewall software for this?

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Windows Firewall is fine for this.

If you will be accessing the server via RDP from a static IP, you should limit 3389 to just that IP. If not, you should make sure to use a very complex password. RDP open to the world attracts a lot of brute force attempts.

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I'll note that you should be very careful limiting to a specific IP for the port if you are on a dynamic IP at home. Not a big issue if your host provides a management interface to take control of the VPS, though. – nullity Jan 22 at 1:29
@nullity Which is why I said "If you will be accessing the server via RDP from a static IP, you should limit 3389 to just that IP." – MDMarra Jan 22 at 1:32
Yar of course; I just picked yours out of the two suggestions to really reinforce it! :) – nullity Jan 22 at 1:40
Fair enough :-) – MDMarra Jan 22 at 1:58
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In addition to windows firewall you should also set up IPSEC rules to deny access to all except your IP or IP blocks to 3389. You should also implement the Microsoft SCM guidelines for web server security.

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Wanted to throw in one additional bit of advice:

If you're going to use Remote Desktop Services just for administration (you're not actually hosting an application for a client or something), run it on a non-standard port. Most attacks are going to be automated, and running on a non-standard port will help to reduce the noise from automated attacks.

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