A dedicated and non dedicated server?
Dedicated server: is only running server-side things. i.e. it's a computer sitting there running the server.
Non-Dedicated server: a server that isn't "dedicated" to running just the server, which basically means it's running a client as well. This would be when you create a server out of the same PC you're playing on.
I'm pretty sure that's it, someone else feel free to correct
So, if I wanted to create my own server and play on it it would have to be non dedicated?
Generally speaking, yes.
Such servers are also known as 'listen servers'.
You can still connect to the dedicated server and play using localhost IP (127.0.0.1).