Here is a tutorial from PlanetQuake. The tutorial is for Quake3 but everything still applies to Smokin' Guns.
I don't think you need to have a Dedicated Server (in reference to the tutorial): I think you could get by with using a Listening Server. With dedicated servers, you need a single computer to host the game server while you and your friends connect with different computers. With listen server, the game server is being run on the same computer being used to play.
As /dev/random mentioned, you will need to open port 27960 on the host's firewall. Look into "Port Forwarding" for you specific router and forward port 27960 to the host computer's IP address.