Just for a side note for reference, very few of the data centers out there will do much to actually really manage your server and I have seen quite a few that claim to be "fully managed" and don't really do anything to manage your server whatsoever leaving you wide open and insecure.
Talking about CSF specifically, it is not something that you can just simply run the install script and be done with everything yet this is precisely what most of the data centers do and even quite a few server managers and administrators who should know better than to do that!
CSF is very easy to install but it **MUST** be properly configured!
Your data center will likely do just this and this alone and nothing more:
# wget http://www.configserver.net/free/csf.tgz
# tar zxvf ./csf.tgz
# cd csf
You will need to go to the Firewall configuration screen in WHM or go and directly edit /etc/csf/csf.conf in SSH to configure your CSF firewall before it will be of any use to you.
Fortunately the options are documented very well and there is comment explanations in the configuration file telling you what each option does which should be a lot of help to people trying to set things up for the first time