Yep, just download minecraft_server.exe from over here and run it. If you're on LAN, you'll be able to connect to it using "localhost" (without quotes) as the IP address for Multi-player.
The server should be running on its own computer, if possible. It uses a lot of power, and you generally won't run well if you try to have a server and client on the same machine.
The server should be running on its own computer, if possible. It uses a lot of power, and you generally won't run well if you try to have a server and client on the same machine.