1) The average dedicated server you can rent will cost about 300+ USD a month and rarely if ever can you install a video or sound card on it. Good for running non-graphic dedicated servers. The bandwidth you get is usually under 1 Mbps.

2) You would need to buy a high end computer with as many processors and raided drives as possible. 5 to 10k USD. The internet bandwidth will chew you up with lowend 1.5 Mbps at a few hundred and full on 5 to 10 mbps (needed for 2000 clients) about 1.5 thousand USD. So you are looking at about 14 thousand in bandwidth a year and 10 thousand in hardware per 2000 clients... roughly.

3) Not it.