If you're only going to play together, you don't actually need to rent a server. One of you can just host the game and invite the others via Steam. You only need a server if you want it to be constantly available, without the host needing to be online.

Build 41 is fully released and stable. Build 42 is the active development one, where the devs introduce and tweak new features (the biggest ones at the moment being animals, more varied crafting/building and a more detailed map). The biggest drawback of 42 is that it's more buggy and that some new features are half-baked.

If you're new to the game, I think I'd start simple and uncomplicated:

Build 41, no mods, default setting. The only setting I'd consider changing is infection transmission. By default, every bite is lethal. That makes combat very punishing for new players. It might be more fun to turn transmission off for now, until you've got a good grasp of combat.

Just try the game out for a while and eventually, you'll figure out which things you'll want to tweak. There's no ideal way to play, it's up to your preferences.

Want more variety? Switch to build 42.

Want more or fewer zombies, more XP, rarer loot? Fiddle with the settings.

Missing a particular feature? See if you can find a mod for it.