Pretty much the only thing you can do at the current time is download the extremely old Personal PSO Server from Schthack (if its still even online at this point). I remember it being fairly easy to set up, but as I said, I don't even know if its still available at this point. If its not still around, there's not much you can do about it, since nobody else has released a PSO server compatible with the Dreamcast version.
And to answer the other question, no the PC version didn't come with a private server program.
If you'd be interested in using PSO: Blue Burst for the PC, there is an open-source server available for that that runs on Windows called Tethealla. It has its glitches still, and its a bit of a memory hog (depending on how you configure it anyway, and this is speaking from having looked through the code), but it does run. It isn't however compatible with the Dreamcast or Gamecube versions of PSO, it's only compatible with Blue Burst.
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