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 :)