When you say the server closes, do you mean the black cmd window itself closes leaving you with nothing or does it show some sort of error message?
Open cmd (Start -> Run -> cmd)
type: "cd C:\Soldat\" (or where ever your dedicated soldat folder is)
type: "soldatserver.exe"
- then it'll stay open to return to you some error message. It might just be that you put in your scripts incorrectly...