Use your PC and an micro sd card to install linux to the sd card insert that into the Raspberry pie to run it then it should also have a USB port also install a server to the usb pen or usb device.
I also bought a special keyboard and hdmi cable for the TV, you need wireless connection.
Not sure if the server for Valheim is supported.
but here's one guide for PI 4
https://www.electromaker.io/tutorial/blog/how-to-make-raspberry-pi-game-server
10 Game Servers You Can Run on a Raspberry Pi
https://www.makeuseof.com/tag/raspberry-pi-game-servers/
https://www.youtube.com/watch?v=qPlOxdbvw1g
Edited to add,
I have limited experience as I havent used mine in years. So I hope you pin the dots together with the stuff I have shared.
Maybe throw a lan party on your PI :)
Good luck.