I've never done it on a rented box like a VPS (virtual private server), but the long and short of it is that if you don't have any background at all in web development or programming, it's basically going to be a lot more trouble than it's worth to you. Just setting up a site on your own home computer isn't hard at all though, as RedAngel pointed out, but it won't look very good (or have almost any functionality, or even support many simultaneous visitors).