Well, it's probably not a lot of help to you, but I do chat on a Jabber server that a friend made. I don't know how difficult it would be to create such a server (I would assume it's downloading a server program and running through a quick setup procedure before starting), but I do enjoy the server. I use it mostly for chatting, but you can also send instant messages to single users.
As far as I know, this program is free, but you'll have to pay for any hardware that you don't already have available (should be just a computer that is on the network).
I've also heard of people building their own irc servers as well, but I have even less experience with that.