Depends, if you just want a server for you and your friends (A.K.A, a private server) then just go to the downloads page of minecraft and download the the minecraftserver.exe, put it in a new folder, and run it.Go into the file called whitelist and add the usernames of people you want to be able to join. Then go into the server.cfg file and enable whitelist. Make sure to either port-forward, or use hamachi. If you port forward, your IP adress will be your public IP(Go to google and look up "What is my ip?") followed by :25565. For example: 12.345.678.901:25565
For hamachi, the ip address will be your own hamachi ip, followed by :25565
If you want a server for anyone to join, just port-forward and disable whitelist. I would reccomend using a bukkit server for these kinds, as you can protect certain areas and get other plug-ins.\
To make a bukkit server, go to bukkit.org and download the latest build. Then, make a new text document and call it ServerStart.
java -Xms512M -Xmx1G -jar craftbukkit.jar
Click save as and add .bat to the end of the name.
Rename the thing you downloaded from bukkit.org to craftbukkit
Run the file you saved as ServerStart.bat
There you go!