Yes, you can run a dedicated server and play on it. Most people don't realize that you can connect to your internal ip address to play on your dedicated server from the same machine. To find your internal IP, go to Start > Run, then type "cmd" in the box (Without quotes) and the command prompt will pop up. In the cmd, type ipconfig, then it will find your internal ip address. Your internal IP address is the one under IP Address. Now start your dedicated server, then start the game your server is on. Open the console and type "Connect" followed by your internal IP.