I have a Centos 5.4 VPS - command-line only, no Linux desktop, no GUI.
No problem. I just set up VncServer, and I can now remote in to a complete, fully functional Linux desktop from Windows any time!
1. Install X VNC server and dependencies (root):
yum install vnc vnc-server
yum groupinstall xfce
2. Enable per-user login (user "mo"):