Hey Alex...
You could change the menu by editing the data files.
As for your own server, you could run your own servers if you have a computer with enough CPU and Ram. Or you could pay a hosting provider that allows you to run the server on their systems.
If you were thinking about having a separate master server though, that basically involves just regular web hosting, one that allows php scripts to run and provides you with a mysql database. The code for the master server is in
https://github.com/MegaGlest/megaglest-masterserver. You'd basically copy that to your host, set up the mysql database (usually a host will provide an interface from a control panel to do that).
All that may sound pretty confusing if you don't have experience with it yet, but we can try to answer more specific questions as you proceed.