You need to actually log in to a command shell on the VPS to use sudo, your admin user does not have root access when you connect using ftp/sftp/scp. So use ssh or whatever, log in and then type at the shell prompt
which should prompt you for your password. You can also just sudo to a root shell using
$ sudo su -
if you have multiple commands to execute as root. You can set the root password on a VPS using sudo, but DreamHost does some automatic administration of your server, and they may or may not reset the root password to something or other if you change it. I changed the password for my admin user (using the passwd command) and they changed it back to what it had been set to, very quickly. Presumably you have to use something or other on the DreamHost control panel to change it and not have them change it back, which I really don't like, but oh well, that's life...