How to set up a web server(Forum)

You need web server software, database software and most probably php support. The installation and configuration of this software can be found where you download it from, and it's quite simple to follow.
The most popular i've seen are the Apache web server and MySql database. You can download a very popular software for this and much more at www.phpnuke.org. The software you download here is actually the one you see at the web page (it's a portal).
If you only want forums, you can try at any of theese:
http://www.phpbb.com
http://www.invisionboard.com
http://www.vbulliten.com

Hope this helps!