Do you need a server for Terraria Multiplayer like Minecraft?
Yep But is much easier to set up. Google go to "Terraria Server". There's the sub-item Windows.
No, you can just do it on Steam. You share the world and friends join.
You can use such a server, but you can also easily host directly on Steam. Then you don't have to set anything yourself and friends via Steam can easily and easily join.