If I were you I'd give the ISP (company where your site is located) a call and ask them if they can set up a forum for you. They will probably want to charge you for setting it up and the extra bandwidth it will consume.
A forum has to have a way to store the data, (all the stuff people type in little boxes like this) and setting up a forum like this particular one would go something like:
You would lease ($85) or purchase ($160) vbuletin (the forum software) (or download a free one) and you also need PERL/PHP or other types of server-side applications running (provides the server side processing to store and retrieve the data, among other things) and MySQL (or another brand of database) set up and running and all of these things usually require administrative access to the server and technical savvy to install and run.
It would be re-inventing the wheel to make a forum from scratch, there are many good free and not free ones available.
Then after it is set up and running you get to deal with all of the emails from people complaining that they couldn't get on the forum, and why can't you change the border color of the forum to yellow roses and on and on...