If you have installed MS SQL or MS SQL Express on your Server 2008 VPS access to the Database is blocked by default on the Server 2008 Firewall.
To do this you need to do the two main steps:
Step 1. Configure the Database Engine to use a specific TCP/IP port. The default instance of the Database Engine uses port 1433, but that can be changed. Instances of SQL Server Express, SQL Server Compact 3.5 SP1, and named instances of the Database Engine use dynamic ports. To configure these instances to use a specific port, see How to: Configure a Server to Listen on a Specific TCP Port (SQL Server Configuration Manager).
Step 2. Configure the firewall to allow access to that port for authorized users or computers.
Microsoft has a Guide on Opening the Port on the Server 2008 Firewall (Port 1433 / 1434) for TCP Access: How to: Configure a Windows Firewall for Database Engine Access
Step 1. In Control Panel, open Network Connections, right-click the active connection, and then click Properties.
Step 2. Click the Advanced tab, and then click Windows Firewall Settings.
Step 3. In the Windows Firewall dialog box, click the Exceptions tab, and then click Add Port.
Step 4. In the Add a Port dialog box, in the Name text box, type SQL Server <instance name>.
Step 5. In the Port number text box, type the port number of the instance of the Database Engine, such as 1433 for the default instance.
Step 6. Verify that TCP is selected, and then click OK.
Step 7. To open the port to expose the SQL Server Browser service, click Add Port, type SQL Server Browser in the Name text box, type 1434 in the Port Number text box, select UDP, and then click OK.