Hosting a game ends when you leave. You have limited options, and limited resources since you need to also play, as well as run whatever else you have.

A dedicated server dedicates more resources to the game, and you have more options. You can use another computer to log in, play, and do whatever you want. It allows more intensive usage since you don’t need to worry about resources used to playing yourself.

I haven’t made one before, but I guess you download it, then use it by launching the game. But unless you intend to have it going constantly and have more than one PC, it wouldn’t be much use.