How do you setup a wow private server

Really not trying to be mean here, but if you truly have no idea where to start with this, then it's simply not going to be possible for you to do.
This aside from the fact that it's illegal.
Google it and join one if you want, nothing bad can happen other than the server getting shut down when Blizz finds out about it, but don't make or run one, bad things can happen to you then.