Start with your nose buried in every textbook your wallet can stand and every article on the web you can find.
You'll probably install Server more than once before you get it to suit you, but don't sweat that. You're in a lab environment and that's what it's for.
I'd connect the desktop to your router (I'm guessing you have one since you have 3 computers using the Internet) with a cable and continue to use wireless on your laptops.
Don't worry about certificates for now. That's more of an advance topic you'll get into well after you have your server set up and running.
You didn't mention; Is it Server 2008 Initial Release or Server 2008r2 ?? There are quite a few differences. First and foremost, r2 is 64 bit only so if your desktop is an old machine it may not run it.
Good luck with it and have a blast. Client / Server networking can be a fun and exciting experience.