The console you are seeing is perfectly normal, do not close this, if you do your server will crash. If you selected LAN in the Start New Server menu and the game closed and the CoD4 console came up it means it's working correctly - the ony time this doesn't happen is in non-dedicated servers. Simply launch the game again and then find your server on the game list (or what my clan and I do with my internet server is added my IP to favorites so whenever I host it they can quickly connect) and join it. From then on any console commands you want, for example respawn time, you enter into the console window running in the background (e.g. no respawn time, type "set scr_dm_waverespawndelay 1" - note that this is for a deathmatch aka free-for-all). Any other commands, for example, time limit and server name, will be kept from the start new server menu as they are saved locally.