First, Windows VPS, an example Virtuozzo based ones, do not allow you to install custom drivers on them. The set of third party drivers which are allowed to load is defined by VPS vendor. I don’t know what VPS software is used at GoDaddy, but probably this is similar situation.
Second, any Windows will disconnect the remote session during NDIS IM drivers installation because the network stack is rebound and existing connections are dropped.
And third, even NDIS IM driver installation may require system reboot if stack can’t reinitialize dynamically.