Hey Julie
Its definately better to go with something that installed as a module on the server itself. Running other programs such as Pennywise use cgi which takes up system resources on a busy shared server. Also trying to multiple programs at one time cause some to not function at all.
If your host is already running Password Sentry, which I think they are, then I would NOT recommend you add Pennywise. I think you are going to run into more issues than you already have. We don't even allow virtual clients to run Pennywise as it causes our system that we, also like Danny, guarantee to work. There should be no reason your host can't get this under control for you.