There are a few companies out there that do these types of VPS's you would have too go offshore though as you are using warez.

http://www.santrex.net/openvz.php

Personally this company would be the best choice to go with as they do offer a 100% DMCA protection.

There is also

http://www.ultratechhost.com/

Not too mention

http://www.wrzhost.com/vps-hosting.php

If you were to purchase a linux VPS.

You can connect to a Linux VPS instance from Windows via a couple of different ways, but in all cases some familiarity with Linux and Linux shell (command line) will be necessary. Most Linux VPS installs are server-only and you use the command line to login and manage the server, including setting up the web server and database management. If you are more comfortable with the graphical desktop view, you can ask the VPS Host to install the desktop along with VNC service (which is an open source remote access utility, similar to Terminal Services in Windows). After that, you can connect to your VPS using the Windows VNC client, as if you're using the Remote Desktop Client in Windows.