Are you hosted by a different company? Or are you running the site from your home computer? If your hosted by a different company you need to make sure that they already have php and mySQL installed on their server before you install phpbb.

If however, your running from your home PC, theres a small problem. Windows isn't configured to run PHP/mySQL so donwloading it would be your only option. Since you already have that, it shouldn't be too hard to get a pre-made forum installed onto your site.

If using a webhost, chances are they run cPanel, most likely with Fantastico. So just enter Fantastico and find the forum software you like, then fill out the forms and click install. Thats it.

If running from a home PC you would need to Download phpbb (http://www.phpbb.com) and then install it. It shouldn't be all that hard because phpBB comes with an automatic installer.