Before you host your first server, you will first have to decide which which of the two server-types fit you and your computer. Game servers can be classified as listen servers and dedicated servers.
Listen servers are run on the same machine as the game client. When the client disconnects, the server is shut down, as the server and host client are run together. Listen servers usually cannot support many players, due to bandwidth and CPU requirements. The software running the listen server typically limits the number of players for this very reason.
Dedicated servers are set up on a separate machine, often hosted in a data center; thus they have high bandwidth and do not have to share CPU with the client's game. In general, dedicated servers are more preferable for large game servers and/or 24/7 up time.