Space Engineers dedicated server setup only supports Windows at this time. I am trying to get it to run on linux (ubuntu 14.04) using WINE but have had little luck on making it run. The good news is the space engineers development team took a good deal of time and effort in getting their dedicated server program optimized so it runs great on Windows.
When you install the game through steam or their webstore download the files for the dedicated server are already included in the download! You can access them by going to the install folder path of space engineers and finding the dedicated server folder.
a) Basic setup as a foreground process
-Choose “Local/Console” item in list of servers
-Click “Continue to server configuration”
-Here you can set variety of options. They work the same way as in the game.
-Fill in the name of the server
-Press “Save config and start” and you are ready to play
b) Setup as a service
-Run SpaceEngineersDedicated.exe as Administrator
-Press the “Add new instance” button
-Fill in the name of the service (must be unique system-wide)
-Choose the service you just created from the list of server instances
-Setup your game the same way as with a foreground process
-Pay attention to ports in “Server settings”, as a single port can only be used by one server instance
Currently there is no RCOM or Console commands for Space engineerings. You have the F3 to kick players while in game. This is an early release and hopefully will change in the future.