A bit of background on the use of a server.
Machines are generally divided up into servers and clients.
The client is the computer you have on your desk and you use for your day to day work. This usually runs Windows XP or Windows Vista.
The server is the central computer and is usually fairly large and powerful. Software that people can share is installed on there, and also important data is stored there.
In fact in a client / server environment ALL data should be stored on the server and NONE on the client. This is so that this data can easily be shared by everyone.
There should also be a regular backup of ALL the data on the server, so that if the server computer crashes (or there is a fire or flood) all the data is safely backed up.
If data was scattered over all the different client machines then it would be difficult to share it, and also every client PC would have to be backed up overnight to ensure all data had been backed up.
Of course in this modern world a "client" computer could also be a laptop, hand held device, PDA, or even a mobile phone.