Correct. You can install Wireshark on the server, but you could also take a network trace natively using the following command:
netsh trace start capture=yes tracefile=c:\capture.etl
Once you're done you can stop the trace using the following command:
netsh trace stop
It will produce an .ETL file that you'll have to open using Microsoft Network Monitor or Message Analyzer. It won't open in Wireshark, unfortunately. :/
If you feel comfortable installing third-party software on your server, install Wireshark. I'd recommend removing it when you're done though. If not, netsh will get you the network trace without having to install any software.