In order to install bzip2 in your VPS or dedicated server Linux You must follow the following instructions.
Type: cd ..
Type: wget bzip.org/1.0.3/bzip2-1.0.3.tar.gz
Type: tar zxvf bzip2-1.0.3.tar.gz
Type: cd bzip2-1.0.3
Type: make install
Give a try and let us know if you find any issue during installation.