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Windows
Verifying and Installing the Latest Java

1. Make sure that you have Java 6 installed. To do so first we need to open up CMD.

In Vista/7 open the start menu and enter cmd in the search field, and press enter.
In XP open the start menu and click Run, then enter cmd and press enter. You can also hold the Windows key down and press R to open Run.
At the command prompt, enter the following command, and press enter: java -version
Java then should display it's version, and should read "java version 1.6"

2. If you have a previous version (less than 1.6) or you get this error: "'java' is not recognized as an internal or external command, operable program or batch file.", then you need to install/update the computers java version. You can do so at the java download page
3. After you installed the latest java try again with java -version.
If you get an error at this point, try the following to add java to your system path.

Right click Computer
Click properties
Click "Advanced system settings"
Click "Environment Variables"
Under system variables, find the Path variable
Click edit, and append to the end of the value: ";C:\Program Files (x86)\Java\jre6\bin"
Now re-open the command prompt and try again.

Download the Minecraft Server

1. Download minecraft_server.jar from the Minecraft multiplayer page or download [urlhttp://www.minecraftwiki.net/wiki/Custom_server_list]custom server software[/url] elsewhere.
2. Create a new folder called "Minecraft Server", and extract the files from the zip file you downloaded.

Some folders may require admin rights to write files to, and thus require admin rights to run.

Start the Minecraft Server

Create a new file named "start server.bat"
Open with notepad and add: java -Xmx1024M -Xms1024M -jar minecraft_server.jar
Start the Minecraft server by running "start server.bat", and it should start.
The server will generate files on it's first run. Now shut down the server by closing the windows in order to edit these files.

Configure the Minecraft Server

1. Configure the server by editing the server.properties.
2. Add your username to the admin.txt and op.txt. Admin.txt allows you to execute server commands, and op privileges allows you to destroy/place blocks.
3. If your computer is connected to a router, open and forward the port that is set for use with the server (The default is 25565). For help with port forwarding, portforward.com is a good source, alternatively one can read the documentation supplied with the router, modem, or other ISP related hardware.
4. Verify the port is open and note your external IP by using a open port check tool.

Connect to the Minecraft Server

To test your server (even if the ports aren't open), select the "Multiplayer" option in the game client (or browser client), and type in the local address (e.g. 127.0.0.1) include the port number only if you aren't using the default (25565) (e.g. 127.0.0.1:1234).

To allow yourself and other players to destroy and build blocks, add their user names to the ops test document.

For people connecting from the internet, they must connect using your external IP. This can be found using the open port check tool mentioned earlier. The port must show as open for these users to connect.

For more information about how to run and maintain a server check Maintaining a server.

If all else fails, the official Minecraft forums have users with information and tutorials for hosting servers.