What type of Datasnap server did you make? Standalone EXE (GUI), Windows Service, IIS DLL or Apache module?
If it's an IIS DLL or Apache module, then yes you will need the matching IIS or Apache server installed.
Is it a EXE or Windows Service, then it run it or install the service and start it.
What are you wanting to do with it, simple remote dataset access, remote method calls, passing objects, register and call backs or what?
Have you tried the demos and http://docwiki.embarcadero.com/RADStudio/Rio/en/Tutorial:_Using_a_DataSnap_Server_with_an_Application is a good starting point.