The first and easiest place to start is your hosting my friend!
Usually hosting will provide a quick installation option for all the best and free software including WordPress. Simple type in your directory, click install and your almost done. Just the usual configuration to do from there.
Failing this approach you will be looking to download the files for a forum from the providers website, upload using ftp to your site file directory and then access the index page in the browser to begin the install.
Hope that helps to get you started and ask more questions that will get you there soon I’m sure 🙂
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If you want a serious forum and have big ambition go with a normal forum not a forum plugin for WordPress, thats my opinion. If you don’t need something that you aim to grow into a busy community, you might want to go with extending wordpress because it will probably far more simple.