Build a virtual server
At this place you can find the different virtualisation tools available for your OS. Choose one that allows you to install Linux.
Start at new virtual machine - give it 256-512 MB Ram - that should do for a non-graphical installation. 4, but preferably 8 GB disk space should do.
The start-up may be a little different from virtual machine (vm) to vm. Maybe you can start with a local ISO file or a network place.
I installed using a Centos network install ISO from a Centos.org mirror. I downloaded the mirror to my local machine. Use the 5.8 and not the 6.3 because the set-up installation and compilation instructions are made for 5.x series.
When Centos boots you shall point out a source of you operating system. I used the directory at http://ftp.klid.dk/ftp/centos/5.8/os/x86_64/ - so enter ftp.klid.dk as the server location and ftp/centos/5.8/os/x86_64 as the directory.
If you did type in the correct information you'll observe that the next step is to download an image from the net. This image is then started and an ordinary Centos installation starts.
Do NOT select to install Gnome or KDE (it's graphical environments that we do not need). Just go for a very basic installation.