Well, usually the provider will install "your choice" of several different operating systems. For mine, I chose a 32-bit CentOS install, and it came with nearly everything I needed (including PHP, MySQL, etc.) The fact that they offer Kloxo means they already have an OS installed; ask them if it includes PHP, MySQL and the specific modules you want.
Typically, you get root access to a VPS, so you can use a SSH client like Putty to log in and install things from there. Often they provide a control panel to handle things like reboots, etc.
There are numerous tutorials you can find searching for your OS and the name of the package; i.e, I might search for "CentOS mod_pagespeed" to see how to install that package.
If you want to find out, there's tons of information on the web, or could go to your local library and get books on the topic, you might even be able to take a class at a local university. Install Linux on VirtalBox on your home PC to learn and play around; you can test multiple distros that way, and then pick your favorite.
Why we suggested management is because if you have a problem the provider is able to walk you through it, and fix your problem and if you ask they can explain what happen, and how to fix it later down the road if needed..
I would always suggest new users to go with managed hosting, it's a better service for the newer clients also to help them learn the basics and such while having knowledgeable people there to help them no matter what without no extra or hidden fee's for them helping you.
i found that i m unable to log to account & some part are not working due to permission error
Sat Apr 09 06:54:20 2011] [error] [client xxx.xxx.xxx.xxx] PHP Warning: fopen(/home/admin/mydomain/source/errorlog/php5/04-09-2011.log) [<a href='function.fopen'>function.fopen</a>]: failed to open stream: Permission denied in /home/admin/mydomain/source/includes/catcherror.php on line 52, referer: http://mydomain.com/viewer.php?file=060083402004081.jpg