No, the dedicated server is a program you can download and install on your computer. There a several guides available in the guides section on Steam on how to install and use it. Some minor computer knowledge may be required.

The game will autosave for you. The current save system is kinda broken, so I would definitely recommend start doing personal backups. I would also highly recommend to turn off Steam Cloud in the global settings.

Path to local copy of Steam Cloud saves:

Path to your personal saves when Steam Cloud is off:

There is currently a test patch out that is supposed to fix the issue with saves as well as overhauling it pretty much completely. I can attest to it that it is now much less intrusive and it will also create local backups (default 4) so you have a higher chance on retrieving your world or character in case they get corrupted.

It should come out "soon(tm)".

Edit: Link to dedicated server guide. Pretty in-depth, you should be somewhat familiar with Windows and not afraid using the command line.
https://steamcommunity.com/sharedfiles/filedetails/?id=2813551062&searchtext=dedicated+server