Firewall App on Win Server 2003

I need a Firewall Software [eg Zone Alarm] that works well with Windows Server 2003.
I have a 1 Server 2003 that serves as my Domain Controller, ISS, FTP, VPN, DHCP, DNS, File Server.
Everything works except the VPN from outside my network, it works internally.
I was thinking of installing a firewall and putting my server in the DMZ.

I have a Linksys WRT54G router, I forwarded port 1723 and enabled VPN pass through,
When I try to connect over the internet from a remote location I get a Verifying username and password and then Error 721after about a minute.

I am open to suggestions.

Thanks.