Can I install any application in my Windows VPS?

Yes, most of the Windows VPS provide full admin access via RDP. You can connect to your VPS from your local system and can install any application of your choice. When you connect to your VPS via RDP, you will see the desktop of your VPS as if you are working on your local system.

Yes, of course. If you have a Windows VPS/Dedicated server with full administrative RDP access, you can install any third party software by checking its compatibility and application restriction terms of your hosting provider.