The shared data server (SDS) starts automatically whenever the UI application is started. There is also a way to configure the SDS to start automatically before the Test Controller starts a test. See Starting and Stopping the Shared Data Server for more information.
Alternatively, if you intend to run the shared data server on an Injector it can be executed directly from:
<Eggplant Performance Install Folder>\bin\SharedDataServer.exe <workspace_name> <project_name>
See Managing the Shared Data Server for more information about maintenance tasks related to SDS.