There's free ones which will do everything for you, but not let you do much.
Then there's the "proper" route. You'd be amazed at how simple it is to build a forum with vBulletin, for example, these days. Probably 95% of what you see in the "forum" bit of this site is all down to just setting basic options in a user-friendly control panel. If you go the "proper route" (installing proper forum software on your own domain) make sure you pick a good domain from the start. Domain accounts for a lot of your SEO. SEO accounts for sign ups. Sign ups account for ads, which = the thing paying for itself. "proper" forum software works like anything else, pay for the license, download files, put them where the instructions tell you to.
EDIT: Picking your forum software is very important to as you're basically stuck with what you pick. Makes a big difference in the security, amount of ad-ons (little "apps" basically for users to use) and the amount of options you have. You'll also notice basic phpBB based forum looks a million times less proffesional than a basic vBulletin forum for example.