They have to know your IP address, and whenever you host a game, you can use the console command "connect (IP)" and they specify your IP address. another way to do this is to select the "Join (specify IP)" option in multiplayer. You may also use the launcher's join game option, and type the IP address of the game you want to join. I don't suggest hosting games like this, because hosting on thge master server is just much more easy to do. An advantage to this system is the fact that it can be used when you have been banned from using the master server, but again, don't expect many players to join. In conclusion, don't worry about hosting privately until you are used to SRB2 and can understand what I'm talking about.