Problem with setting up a local server

I installed Plex Media Server on my Dell Latidude (laptop Intel core i7). Under setting there is no tab for "Server", so I cannot set up a local server. The program only say: Looking for server (without finding one). I can set up a cloud server, but I do not want that. I want it all to be local.
I have read all the faq that write about server, but none fix my problem. Anyone that know how to do this, or is it impossible the set up a server on a laptop?