Well, I'm not so fancy at making games, especially MMO's, but I have a friend who is.
Most online games are made using Unity, Flash, or sometimes their own software. Take AQWorlds for example, they made their art and animation using nothing but Photoshop and Adobe Flash. As with almost every game, it does cost money to make an online game, mainly because of the hosting. Hosting is the life core of an online game.
My general advice if you really want to make an online game as your first ever game: Don't. Seriously. The effort involved is simply too large if you don't have any previous experience and will most likely lead to failure.
Not to mention the server maintenance and hosting costs.
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free* being that either there are ads, stuff to buy in-game, limited content. Almost always something costs money especially if you have servers and databases.
Developing a Game is not simple, it's complicated and very expensive especially online games. You will spend a lot of cash in creating server and paying your programmers/designers/Quality Assurance.
Why? The internet itself may need one to send it's signal around the world, but do you honestly think an independent game developer would have to pay to send a satellite into space?
I'm wondering the same thing. Every piece of code I get to connect to my already existing server seems to have a road block, like: You need to learn XML to connect to the server.
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You need to learn PhP and make some socket thingy!