As this is an old question i'm just gonna write myself what i did :P

You need to cd to the folder within the terminal so if the minecraft_server.jar is in the folder /home/username/Dropbox/minecraft_server/ you'll first need to cd to the folder and then open it, like this

cd /home/username/Dropbox/minecraft_server

java -jar minecraft_server.jar

Then it will load all the files that are in that folder and if there aren't any it will create them in there.

UPDATE:

Instead of writing this every time you want to turn on the server, you can do this:

Step 1:

make a folder in /opt called minecraft_server
and a file called run.sh

sudo mkdir /opt/minecraft_server

touch /opt/minecraft_server/run.sh

Step 2: (Optional)

Download a image that you want to be shown in the launcher and dash.

cd /opt/minecraft_server/

wget http://dl.dropboxusercontent.com/u/50254717/mineserver.png

Step 3:

edit the run.sh

sudo gedit /opt/minecraft_server/run.sh

and put this code in:

#!/bin/bash



## destination of the minecraft server file

cd /home/USERNAME/Dropbox/test/; 



## name of the minecraft server file

java -jar minecraft_server.jar;

Step 4:

create the .desktop file

sudo gedit /usr/share/applications/minecraft_server.desktop

and put this code in:

[Desktop Entry]

Type=Application

Categories=Game

Exec=sh /opt/minecraft_server/run.sh

Name=Minecraft Server

Icon=/opt/minecraft/mineserver.png

#Icon taken from http://www.minecraftforum.net/topic/1328888-free-minecraft-server-icon/

Now you should be able to open the server within the server itself :)