Well first you would need a server, which you probably wouldn't be able to get for free. But, assuming you already took care of the server part, you would have to make sure it supports things like PHP and SQL and some other stuff probably. Then you'd need the forum software. For free, I suggest
SMF first and
phpBB second.
If you don't have a server at all, though, and can't buy one. There are some places that'll host forums for you. I think
InvisionFree does it, maybe. Not sure.