What server software are you using? (IIS or Apache or what?) The PHP 4.3.x windows binaries should have an option to automatically configure IIS with PHP as an ISAPI filter.

If you are running linux, you will have to compile PHP with apsx2 to use it with apache.

As for choice of message forums...phpBB is bascially the best you can get for a free message forum.

Post what software you are using and what PHP version and that will help anyone figure out what might be wrong.