In you game installation folder (C:\Program Files (x86)\Steam\steamapps\common\Terraria), there should be a file called "start-server-steam-friends.bat". Double click the file and follow the on screen instructions to set up a server. Then to join your own server select Multiplayer and use the server IP 127.0.0.1
Then, if it gets stuck on "found server" alt-tab to the black command console and screenshot any messages that appear there so I can see them. Furthermore, are you using any mods or is this vanilla?