The asset server has no frontend program. It’s basically just a PostgreSQL database that runs in the background and accepts connections on port 10733.
The actual logic is inside the Unity client and that’s where you have to set it up. Open Unity and look in the Server menu, there’s everything you need.
@wuwu: Are you sure you purchased the asset server version of unity? Only that one has the server menu inside. The normal indy and pro versions don’t have that option.
If you’re sure you bought it I guess you should contact Tom Higgins to clear that.
If I remember correctly, you’ll have to enter the serial number you received with your asset server purchase to Unity. Maybe that was what was missing?