Unlike Shared Hosting where you share server with other web site owners, Dedicated Server hosting offers you the opportunity to rent an entire server. You can customize the server as you want.
When you choose Dedicated Hosting you lease pre-configured equipment and connectivity from the provider. You choose operating system and software and adapt it to your needs. Dedicated Server resides in private premises with its own independent operating system, web server, mail server, and software instances. You have remote access to the server and you can customize the server to your own needs.
The provider, however, remains responsible for administration, maintenance of hardware, support, connectivity, power, etc. The server is owned by the web host and you don't have physical access to the server.
Dedicated Hosting requires more time, financial and human resources than shared hosting. If you think you're not familiar enough with configurating server you should check whether your hosting provider offers set up and installation assistance as well as ongoing support.
