You can buy a whole server operating system and start from scratch if you need something serious, or install a third party application on top of an existing operating system.
If you have a good mind for compuers and want to build a high-functionality server I'd suggest playing with linux, a server version of any mainstream linux distrobution will be free and have all the tools you'd need included.
If you want something a little more straight forward (for network file and web serrver) I'd suggest using windows built in file sharing and a third party application for the web server. I use XAAMP (http://sourceforge.net/projects/xampp/), it's a great open source (free) web server powered by apache or faststream IQweb/ftp server (www.faststream.com) which is also free for small personal sites with a paid version for busy/commercial servers.
Faststream is very easy and user friendly, but I'd suggest Xampp or a real linux server if you want a little more control/power.