Create it on your local computer and copy it over. Before you do that look in your serversettings.txt on the server to find out what the name of the world is that your server uses (usually world.wld or world1.wld) And then create a world with that name or you can also change the serversetting.txt but note that you have to change the worldname and the autoload path accordingly to match the worldname that you've created (but please don't change the path)