If you have DotNetNuke installed already, here is a walkthrough of setting up the Forum module:

   http://www.datasprings.com/Resources/ArticlesInformation/DotNetNukeForumModuleInstallConfig/tabid/849/language/en-US/Default.aspx

If you do NOT have DNN set up and have never used DNN before, then you'll need to learn a bit before you're ready to play with the Forum module.

To get started with DNN 4.x (I'd use DNN version 4.91 for now -- don't start with 5.0 as it still has a number of notable bugs) start here:

   http://www.adefwebserver.com/DotNetNukeHELP/DNN4_DevelopmentEnvironment/DNN4DevelopmentEnvironment1.htm

Note:  How you set up and access DNN will vary a lot depending on how you intend to host the website (will it be on a local box with user accounts, across an intranet with Active Direcotry domain accounts, on the internet via a remote hosting provider, etc).

Good luck!
-mamlin