I want to create a server on my vps ubuntu 14.04 but this post or site http://en.lfsmanual.net/wiki/Hosting#Running_a_LFS_Server
its very old.

I can not start lfs.exe on the terminal of my server, there are several errors that I have tried everything.
Please Help.

If you follow the "Linux with WINE" part it should work fine. Followed it myself and worked fine (Debian 9, but shouldn't really matter).

Application tried to create a window, but no driver could be loaded.
Make sure that your X server is running and that $DISPLAY is set correctly.
err:systray:initialize_systray Could not create tray window
wineconsole: Starting program "LFS.exe /cfg=setup.cfg" failed.

try with DCON = Dedicated host for LFS

As Draggo said, use DCON. It works perfectly on Ubuntu (that's how I hosted my sever originally).

Use MONO if you want to run LFSLapper.