The first thing you'll want to do is create your categories. So you'll use the Forum -> Category Settings and clck the "Add Category" button and then add a categroy. Do that until you have those added.

Then you can go to the Forum -> Forum Settings and click the Add Forum button. Fill in the basics such as the forum title, choose the category, etc. When you've filled all that in and have added it will take you to the permission screen. This is where you need to set the permissions for the forum, who can see it, who can post to it, etc.