Not the console. The command line.
There are 3 ways to add command line commands to a program.
1: The easiest. Requires the official SRB2 launcher.
In 'Main Options', there's a 'Manual Parameters' box. Put in -dedicated.
2: For when you don't have the SRB2 launcher.
Create a TXT file. Write in it "srb2win.exe -dedicated", and change the file extension to .bat. Double-click it.
3: The hardest.
Open up the Start menu, and click 'Run'.
Enter 'cmd.exe'.
You'll get a little black box that says
Blah blah Microsoft XP ect.
C:\Documents and Settings\YourComputerName>
Type in 'cd', and the path to your SRB2 directory, then press Enter. Like, I would enter
cd C:\Documents and Settings\PFG\Desktop\Game stuff\SRB2
Apon pressing enter, it'll look like this.
Blah blah Microsoft XP ect.
C:\Documents and Settings\YourComputerName>cd C:\Documents and Settings\PFG\Desktop\Game stuff\SRB2
C:\Documents and Settings\PFG\Desktop\Game stuff\SRB2>
Type in 'srb2win.exe -dedicated'.
I think there's more to running a dedicated game than this. If you want the server to be advertised, you might have to add another -command, but I don't know what that is.
When you run a dedicated server, you can't play, or see what is going on in the game. You will only have access to the ingame console. So it is not ideal if you wish to participate in your own game.
However, dedicated servers use a lot less of the host's CPU, since graphics are not rendered, and such. So they allow the hoster to continue to do other things while hosting. So it's best if you wish to host without participating in your game.
Note that performing some actions on your computer (E.G. Browsing the internet or playing another game) will cause noticable lag within the SRB2 netgame for players.
And that's all I know of the subject.