First, you're going to need to pick some software.
Tech Guy uses one of the best one's out there - vBB (
http://www.jelsoft.com). AWESOME software, but costs money.
There's a few free ones, currently I like invision power board,
http://www.invisionboard.com/ - just MAKE SURE you update it, there's some known security bugs that are pretty serious in older versions.
People also like PHPbb, but I don't.
http://www.phpbb.com/
Then you need a host. That's up for debate, but I use and overall like Blue Virtual,
http://www.bluevirtual.com. $10/month + $10 setup fee. Unless you plan on going with a windows based package for the forum, you'll most likely need a host that supports both PHP and MySQL.
You'll also want a domain. These generally run $25 a year. Then again, if you already have a webpage then don't worrk.