Did we have to propose this to Area 51 ?
Normally, I would say yes, as this is the route most language sites took (though the Russian one was created outside of the network, was bought out and migrated to the network).
However - we are currently not accepting such proposals:
Internationalization 'State of the Stack' - Stack Overflow edition
or we have to create our own server and make an agreement between SO and our own server ?
Not sure how that's supposed to work. It isn't how the current language sites were created. There's no guarantee that will work at all.
Either of these options is unlikely to end up with a new Stack Overflow in [language] site in the network - and frankly, I don't see any other option that would, at this point in time.