[NOOB] How do I setup my own private server? (Non-public)

[Xermygames]

Basically I want to play on a certain server called AXCLASSIC, although the exp rate is way too slow at my taste but everything else is alright. And since its a very old server, its DataBase is available to the public.

How do I setup my own private server with the Axclassic (or any other server DB) database, so I can play alone in it and screw around testing stuff such as modifying the exp rate for example...?

I have 0 knowledge about setting up private servers.

Are there any threads that explains fairly easily and simple as much as possible on how to do something like this?

Thanks in advanced