You want to set a private server just to test your theme? Or you want to actually run a server dedicated to mafia? If it's the former, just download the scripts from the PO repository, put them on the folder you have PO installed and then run the Server.exe program. To join your own server, just type localhost on the Advanced Connection field in the screen where you choose a server.
thanks icekirby and the last question is how add themes on mafia i got this error SyntaxError: Unable to parse JSON string
That means your theme is not properly coded. Try to pass it on JSONlint until you get no errors, then check it with the Mafia Checker.