What type of forum would you like to setup?  If you would like one like the one you see here (the Lunarforums) then I would suggest you go into cPanel > Fantastico then you can find SMF in the left sidebar.  Right now I think it is the best forum software script out there right now. 

Once you get it installed, you can edit and modify things to make them look the way you want to as well.  Just make sure you install it into a new folder (such as /forums/) so you don't accidently over write any of your current web site content.  Hope that helps!