Dedicated server for MMO shooter

Hello there. I and my friends are developing MMO game for PC, but we don’t sure know how to make dedicated server work. Yes. There is a tutorial about this from Epic Games. So to make that work we should create a dedicated server that contains map where players will be fighting, and we must package game so that through menu players will connect to lobby map and later to server with main map? But how do you connect from game to server if you don’t have internet connection? I didn’t get it. Guys didn’t get it too. Thanks