As mentioned previously, remote desktop is far superior to VNC.
One caveat if the VPS is based on Virtuozzo: the SWSoft network adapter does not do a good job of simulating a "real" network adapter (unlike other virtual platforms like VMWare). You cannot run a VPN client or a VPN server, such as Routing and Remote Access or ISA Server. This sucks if you need secure/encrypted network access to your server. But if you know how to set up SSH tunnels you can work around the lack of a VPN by installing some free Windows-based SSH server such as copSSH. Those work with the fake SWSoft network adapter.