Below are the steps to open up a port on the Windows Firewall.
Move your mouse to the bottom right corner of your remote desktop screen and click Settings when it appears.
Click Control Panel
Open Windows Firewall from the control panel
Next click on the “Advanced settings” link in the left hand side of the screen.
On the Windows Firewall with Advanced Security window, you can create and manage your inbound and outbound data flow rules separately. While relatively similar, this tutorial will focus on inbound rules. Click "Inbound Rules" on the far left, then click "New Rule..." on the far right.
On the New Inbound Rule Wizard, select Port as the rule type.
Then select whether the port will be accessed by TCP or UDP data and specify the local ports (ports on your VPS side of the flow). For example, if you have an application running on your VPS that runs on port 8080 on your VPS, this is where you should enter that value.
Then select how connection attempts to this port should be treated. Allow the connection to quickly allow connections on this port of TCP.
Unless you have created a virtual network like a VPN, choosing Domain and Private should be enough, but use discretion when you get into networking.
Give the Rule and name, complete the wizard and you're done!