Does anyone know how can I make a private server on minecraft?

Name says it.

Depends if you prefer a 24/7 using great connection, or some you guys set up by yourself every once in awhile with horrible-great depending on your hard disk and world wide web connection.

To build your own head over to:

http://www.minecraft.net/download.jsp
plus download:
Minecraft_Server.exe
minecraft_server.jar
plus follow that instructions offered.

To possess a hosted just one with great connection visit:

http://www.minecraftforum.net/viewforum.php
Then locate one you would like and pay about 4$ per month for a recommended 4player node.f=1027

http://www.minecraftwiki.net/wiki/Tutorials/Setting_up_a_server
go here.