Its probably performing the install, but its taking so long because of your slow connection, your PC seems to freeze. When you use your VPN, regardless of your internet connection speed, you loose a great deal of speed do to the VPN tunnel. Our VPN connections are over Cable or DSL broadband connections, yet our users have trouble opening simple word and excel documents becuase the connection through the VPN is not using the full broadband connection. You're using a 56k connection which is even slower, so I would not recommend running or installing programs to your server over the VPN connection. Try copying a small file (around 50k) from your server to your PC and time how long it takes. You'll probaly see that it won't download with a speed comparable to regular 56k speeds.
Chris