Play Guide is for playing on someone elses pre-defined server from the server list. So that's not what you want. Go to the WIKI, search for Windows and Setup (I believe that's enough) and find the wiki about setting up on a Windows server.
Since you'll be doing stand-alone, also look in the Wiki for "Minilogin". Crabclaw wrote a nice article saving most of us much time banging our heads against the wall.
Know this; running your own server (even for yourself) takes a lot of setup and patience. You have to have a basic understanding of MySQL, Perl(?), and what an IP address is.
Good luck, and welcome.