But Seriously, you can do one of 2 things. You can set one up and configure it however you want to, which is a bit tougher. OR you can have a basic server that will have no crazy mods, and you will not be able to configure it, but it's very easy to set up.
If you're going with the Easy Way, go with what ViN said, HLDS.
If you're going with the Hard Way, go with an app called SRCDS. Click on the link above and click on the first option. That thread should help you, it helped me when I had a server.
Also, make sure you realize that you can't play and host a server on the same PC. It IS possible, but not recommended.