There are various ways of doing this.
Firstly, there's no inherent difference between Mac OS X Server and Mac OS X. They both run sendmail and are both capable of maintaining mail for many users. Although the web site for Vacation does indicate it's for Mac OS X server only, I don't see why. In either case, it's simply a front-end to the built-in unix utility 'vacation', which handles this kind of thing,
Having said that, you don't specify at what level you want to run this. Are you trying to do it for your personal email account, or are you a mail administrator for a domain and intend to set this up for users in your domain to use?
man vacation will give you the low-down on the vacation utility and how to run it, but it does require that it's run on the server not your machine (unless your machine is the mail server for your domain).
If for personal use when you're not running the server, the simplest method is to setup an auto-reply in your mail client, although this requires that you leave your system on and your mail client open, processing mail while you're away.
Alternatively, you can use procmail (installed on Mac OS X as well as most unix mail servers) to process mail and send auto replies.
Be very careful when setting up vacation filters, though. Do NOT blindly reply to each incoming email unless you're absolutely sure you've unsubscribed from every list you're on before you go. If you auto-reply to a list message, the reply will likely go to the list which will, in turn, come back to your mailbox to generate another reply, which generates another message.. ad infinitum. I'm sure you get the idea.
In my experience, vacation filters are more trouble than they're worth unless you're gone for an extended period of time or often get time-sensitive emails.