If you mean a server to download from and perhaps host wikis, news and stuff, like www.yourgame.com as SOTL suggests, you should be aware that some ISP's simply will not let you host a website on your personal computer (plus, if the website becomes big your home network will probably not handle the load very well) and you'll need to rent a server from some other provider. But otherwise, the basic idea is to install an HTTP server which hosts a website on your fileysstem, and make it listen to port 80 of your computer (allowing other people to connect to your computer as if it were a server). Then you rent a DNS record to map your IP (make sure it's a permanent one) to the url you want, and finally submit your url to google and other search engines. Don't expect miracles though...

For hosting locally I liked Apache, but if I wanted to distro something I wouldn't host it locally. There's all sorts of file lockers out there as well as anonymous ftp servers or ssh hosts that will let you distro files for free as long as you don't use up too much bandwidth.

For windows there is Filezilla and Apache.

Remember, a static IP adress costs money.

It would be easier and faster to just pay for hosting, unless you already have sparkling internet service.