Thats the most open ended question. You need to be a little specific. What kind of server and for what purpose? Just a box running a blank OS? Web Server? mysql? mssql? a virtual environment? application server? Just buy a dedicated server from somewhere and they will probably have what you want installed if not just install. But to be honest if you need help setting it up then you should probably just go for a VPS instead, but still it depends on what ou meant by 'server' in your original post and for what purpose it will be used?
Well i want to get like a private server for a proxy site and then one for a script like this one. http://forums.digitalpoint.com/showthread.php?t=172823
Just make sure that Godaddy or any other VPS provider allows you to run a proxy server. The fact that you pay more for your box does not mean that all hosting services will allow proxies.
yeah, right now ill probably just start with Correctus (see link below) and his serving option for a couple of months till my domain name becomes popular and gets more hits (since im gonna be starting everything new) and then probably switch to a VPS like godaddy or something that allows proxies http://forums.digitalpoint.com/showthread.php?t=253640