There are several components that make up a FreePBX system. The main ones are outlined here.

Server

The server is any computer on which you've installed Linux, FreePBX, Asterisk, and any other programs needed to run your phone system. The installation section of these instructions gives much more details on how to install the required software on your computer, including a very easy way to install the software using a Distribution ("Distro") that installs everything for you at once.