I just launched my first server with go-grid (cloud). Its a 2GB instance running Windows Server 2008 (64-bit) version. I've installed the IIS components that I'll need along with SQL Express 2008 for the websites that I'll be hosting on there.
I'm a developer by trade and server hardening/security are completely foreign to me. What are the things that I should do next to improve the security on the server?
Once you've got the components that you need for the server's intended purpose installed, configured, and tested, run the Security Configuration Wizard.
I would also consider using the Microsoft Baseline Security Analyzer. I would use it as a guide, as opposed to gospel, to help check on some of your configurations. It's not perfect, but a nice tool to have.