You must be running Squeezebox Server on your PC. If you install Squeezebox Server on the Joggler you won't need to have the PC switched on.
I installed Squeezebox Server using gforums' Plug'n'Pimp. It works really well, just be patient during install. You will get a lot of text appearing on the screen and it will look at times like it is hanging. Do not touch anything until you get notification that the install is successful. The procedure can take several minutes.
After installing, you should get a message in your Joggler inbox with instructions on how to access your newly installed server.