From the main menu, click on Multiplayer, then at the server list press "c" and then name your server.
From singleplayer or another server: type /join [name] without brackets, if it does not conflict with another name of a previous server then it will create it.
Note: When you leave the server, you lose your admin status. If someone gets in, they will be the admin. If no one gets in, the server will disappear, but you can create another one.