My attitude is, the stupider the question the more you learn from the answer, so ask away
With the server (any server, not just calibre) what happens is that the server sends the file from your computer to the users computer. The file might be opened automatically in a viewer on the users computer, so you think that it is not being sent, but behind the scenes that is exactly what is happening.
If you are concerned about random strangers accessing files on your server, there are two things to be aware of:
1) The server only gives them access to files inside your calibre library so dont put sensitive stuff in there (you can keep two separate calibre libraries)
2) You can protect access to the server via a password (see Preferences->Sharing over the net in calibre)