Some applications require you to install them via the console of a server. Since your windows VPS server is a virtual machine it has a virtual console that is remotely accessible via terminal services. To connect to the console port you'll type the command:
mstsc /console /v IPADDRESS.
Where IPADDRESS is the IP address of the VPS you're trying to connect to. Once connected you'll be able to work on the VPS as if you had a keyboard, mouse and monitor connected to your VPS as you would with a physical machine. Applications that may require this type of connection to install include: Windows Sharepoint Services 3.0 (WSS) and .NET Framework 3.0.