Unless your router is bridged or SME is in a DMZ, GRC is testing you router and not the server. Your router is probably natting you IP to the server.
An SME set in server/gateway mode connected directly to the internet will actually show several ports as open. Usually 25, 80, 113 and 443 by default.
If you don't want to offer any services to the internet, put your server behind a firewall as you have it now and seal up your router/firewall.
If you want to offer any services such as a website, you must open port 80 to the internet. You can't totally stealth your connection and offer services at the same time.
What is your goal here, do you need to offer ANY services to the internet or is this just a private server?
Paul