Post-install on an unmanaged Windows VDS, you should be able to install all but CoD4 through HLDSupdatetool with commands like these:
hldsupdatetool -command update -game tf -dir sourcebase
hldsupdatetool -command update -game "Counter-strike source" -dir sourcebase
hldsupdatetool -command update -game cstrike -dir hldsbase
hldsupdatetool -command update -game l4d_full -command update
hldsupdatetool -command update -game left4dead2 -command update
This would give you TF2 and CS:S in c:\Game installs\sourcebase\orangebox, CS 1.6 in c:\Game installs\hldsbase, Left4Dead in c:\Game installs\l4dbase\l4d, and Left4Dead2 in c:\Game installs\l4d2base\left4dead2. If you need other games, this command will show you a list of what can be downloaded:
hldsupdatetool -command list
If you want to install Garrysmod or a 3rd-party mod, note that they won't coexist with TF2/CS:S/HL2MP/DODS in the same folder, and would need to be installed with a different "-dir" option.
For CoD4, you'd need to upload your full client folder to the server. Alternately, you could install the Steam client on your server, and download through that.