There are several free software packages, as well as many commercial packages for setting up forums. The free ones at least require some technical know how. Not sure about the commercial ones. Regardless, you have to work with an ISP and do at the very least a small amount of HTML coding.
phpBB is a good open source(free) bulletin board software package.
Supporter: Juventus FC, Frosinone Calcio, New York Red Bulls
Foe: FC Internazionale Milano, AS Roma
I agree on phpBB...
my paintball team uses phpBB2 for our forum on our site and it's by far the best free forum. You can easily modify it to enhance its appearance and technical features.