1) Get a server with support for server-side scripting (Perl, PHP, ASP, etc.) as well as database support (MySQL, PostgreSQL, etc.).
2) Find bulletin board/forum software of your choice (http://www.hotscripts.com
is a good place to start looking).
3) Upload entire scripts to the server, and follow instructions included with the software.
4) Run the software's install script through the browser.
5) Use the software's administration panel to set up forum sections, users permissions, etc.