Well, a lot of hosting companies offer only the software configuration of their choice. On top of that, most of them would not agree to send someone to the datacenter to be on the phone with you while inserting/changing CDs to help you install a distro of your choice.
It's easier to completely switch a linux distribution if the original configuration includes a swap partition. That partition can be reformatted to contain a fully-working system. Then, it can be used for booting up to let you free up the main partition(s).
But if there is no "spare" partition for you to use, of if it's too small for you to be comfortable in the future, or if you want to completely change the partition table, then here is how to do it."
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