A dedicated server is just like any other server, except you don't actually have to be in it in order for it to run.
Just click Dedicated.bat(ch?) and a command prompt type of window open up, and starts a server for you with your default settings.
There are commands you can use for the prompt window to interact with the people on your server.
You server will stay up as long as that window stays open, and your internet connection is active.
Also, be sure not turn off you pc