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No and yes. The way XBL is designed you can host a game, in that case you are the "server". You can create your own "server" by inviting friends and playing together. You are basically creating a server in this sense, since you are "serving" your friend the same data. You can not make a dedicated server like you can with PCs where the server just serves the data to everyone that is connected.

/steps up on soapbox
this is the reason why Live sucks and console will never be as good as pc. ppl say that if everyone's connection is good it doesn't matter but that just isn't true. you can never have an even game on Live.