Yes!
Firewall Script will function perfectly in shared hosting. In fact, part of the reason it was designed is because its understood that most people are *not* die hard server admins.
Additionally, many people dont have the knowledge or time to setup complicated apache modules or physical firewalls, and manually edit rules via console.

Thats not to say that Firewall Script isnt a good choice if your not on shared hosting. It works perfectly on a dedicated server as well. Several users choose to use FS for its ease of use and low overhead.