Okay...

Do I have to download one of the servers on the home page? If yes, I have Windows 98, which one?

Should I simply dump all the stuff in the zip I recieve into the SOLDAT directory? Or not?

Thats it... For now.

Nah, the normal soldat d/l is fine for playing on the 'net.
AFAIK you can just start a game and it will listen for people trying to join.

Or, if you want to get a server going that you don't need to be present in, you can use the -dedicated switch when starting soldat.