For Windows:
Download Mindustry-server-4.0-alpha-56.jar from download page.
Create new text document in the same folder where placed file Mindustry-server-4.0-alpha-56.jar and enter next text:
java -Xmx512M -jar Mindustry-server-4.0-alpha-56.jar
save text document as .bat
Run it.
Connect to your server by specifying the IP address of your computer. Like 192.168.0.101. If you dont know your IP, open Command Promt and enter command "ipconfig". Do yo see string "IPv4-adress....."? It's your local IP-adress. Use it when you connect to your server.
Done.
P.S. Sorry for my bad english.