Hi Alexandre Ferreira , according to the documentation, starting with SharePoint Server 2016, the standalone install option has been deprecated. Therefore, you must set up a new server for both AD and SQL.
And here're five sections to install SharePoint 2019 to help you to the right direction.
1.Install and configure Hyper-V.
2.Install Windows Server 2019.
3.Install Active Directory Domain Services.
4.Install SQL Server 2017.
5.Install SharePoint 2019.
References:
https://learn.microsoft.com/en-us/sharepoint/install/hardware-and-software-requirements-2019
https://learn.microsoft.com/en-us/sharepoint/install/install-sharepoint-server-2016-across-multiple-servers
https://sharepoint.handsontek.net/2019/06/09/how-to-install-sharepoint-2019-step-by-step-on-hyper-v-part-1-of-5/
Note: Microsoft is providing this information as a convenience to you. The sites are not controlled by Microsoft. Microsoft cannot make any representations regarding the quality, safety, or suitability of any software or information found there. Please make sure that you completely understand the risk before retrieving any suggestions from the above link.
If the answer is helpful, please click "Accept Answer" and kindly upvote it. If you have extra questions about this answer, please click "Comment".
Note: Please follow the steps in our documentation to enable e-mail notifications if you want to receive the related email notification for this thread.