Running your own IRC serverChoose between Windows, Unix, Apple based IRCd's. There's free ones and ones that cost money. Just install one as you would any other programme though remember that because it is a server, unless you block it on your firewall it will have access to the 'Net which means that other people can log in to your machine.
Some IRCd's such as ConferenceRoom and Chatspace have GUI based set up procedures. Many of the others such as Dreamforge require you to manually edit a text file called IRCD.conf (or similar name). If you choose the latter you will need to read up on what all the 'lines' are for. You will need to understand this before you can make the IRCd work for you.