Aha.
You get the program to set up a server with the regular Teeworlds download, so you most probably aloready have it wherever you have Teeworlds on your computer. It's the program called teeworlds_srv.
I assume you use Windows. If you don't I'm afraid I can't help you personally, since I don't really know how Mac or Linux works in detail.
If you just doubleclick on teeworlds_srv it will start an unnamed server with the default settings. Just like that. To get your own settings on the server, which I assume you want (otherways, what's the point of having your own server?),you need to take a slightly more complicated path.
1. Make a config file
A config file is just an ordinary plain text file really (NOT a word document), except it has .cfg in the end instead of .txt. You can make such a file using Notepad, save it in your Teeworlds directory and make sure to not save it as a regular textfile. Call it whatever you want, but have .cfg in the end.
2. The settings
You write your settings in the config file. For example, if you write "sv_map dm2", it means that the server should run the map dm2, and if you write "sv_gamemode tdm" it will be a team deathmatch server.
Read up on how you write the settings here:
http://www.teeworlds.com/forum/viewtopic.php?id=952
3. Starting the server using your config file
Don't start the server by just doubleclicking on it. You need to start it in some kind of terminal (using a text command) so that you can tell it to use your .cfg file. I think the easiest way is to use Run in the start menu. You could also use cmd (the dos prompt).
Another option is to make a windows shortcut so that you, later, only need to doubleclick on the shortcut to get a server with your own settings running. How to do that is explained here:
http://www.teeworlds.com/forum/viewtopic.php?id=1018
When I start a server, I write this in the startmenu Run thingy:
c:\teeworlds-0.4.1-win32\teeworlds_srv -f dreamland.cfg
The "c:\teeworlds-0.4.1-win32\" part is the the searchpath to where the program is, it might be different for you. In a terminal you start a program simply by writing it's name, in this case "teeworlds_srv". The " -f dreamland.cfg" part tells teeworlds_srv that it should run using the config file called dreamland.cfg, replace dreamland with whatever you call your file.
And that's pretty much it.

. Personally I'd like to see some of the existing ones staying, like the hearts, since you can use them for expressing stuff like "well done!" for instance.
