With the new update of Minecraft 1.3, you can now set up a LAN server. Now, most might mistake the meaning of LAN and say "But don't you need to be connected to their router, like at their house?" This is one case but there is also another case.
How to set up a Minecraft LAN server:
Start a Single-Player game and go to the Menu.
Head to the "Open to LAN" button
You can switch how other players can play by changing the Game Mode and Cheats options, however the Game Mode won't apply for you.
Click on "Start LAN World"
You will get the message "Local Game hosted on: "Your Dynamic IP":"Port Number"
Head over to Whatismyip.com and get your computers IP address.
Have whoever you want to connect to go to the Multiplayer screen and have them go to Direct Connect.
Have them type in your IP found on Whatismyip.com and then :"Port number of your game".
The IP they type in should look like xx.xxx.xx.xxx:xxxxx , Where the first set of numbers is your Computer's IP address and the :xxxxx being the Port.
Finally have them press "Join Server"
