1) You can outsource a pre-created board, or
2) You can create a message board from scratch on your own server.
If you decide to choose option #1 and outsource the message board, then that means another site builds and hosts the board on their servers and they give you certain administrative rights (change the border and background colors, etc.)
Advantages of Outsourcing a Message Board:
1) The message board is already created for you
2) It's convenient for people who have web sites hosted at free places like Yahoo/Geocities, etc. because many of these providers don't provide the resources that will allow you to create a message board from scratch
3) You don't have to worry about the files/messages taking up space on your web server
Disadvantages of Outsourcing a Message Board:
1) You may not have as much control over the look and feel of the board
2) If the site that hosts your board goes down for any period of time, so will your message board
3) Some companies may have limits on the amount of traffic and/or content on the board so you may have to delete your messages often (especially if the service is free)
So if outsourcing doesn't appeal to you, you can always build a message board from scratch and house it on your own domain.
Advantages of Creating a Message Board From Scratch:
1) You control more aspects of the board and there is no limit to how you can edit or reconfigure it
2) You will be able to make much of the design match the look and feel of your existing site
3) Never worry about the board being shut down since you own it completely
Disadvantages of Creating a Message Board From Scratch:
1) You will have to manually upload the files to your web server and have a basic understanding of how to change permissions on files since most message boards are built in other languages (cgi, PHP, asp, etc.)
2) You'll generally need to already have your own domain name (YourName.com) and have it hosted somewhere before you can begin uploading your scripts. You'll also need to make sure your hosting company gives you the right kind of access to host the board.
For example, if the board is written in PHP, then you may have to create a database on your web server. Again, once you find a board you want to use, ask your web hoster if they support it. They'll be able to tell you.
Frankly, I found it quite simple to create a board from scratch once I understood how to upload and change file permissions.
Trust me, you do not have to become a programmer to install a board. I am hardly the technical guru and I picked up on it pretty quickly.
Basically what you'll do is find a message board you like and then download all the necessary files to make the board work. Once you download the files, you'll have to edit a few lines in some of the files and then save them to your web server.
After you're done most boards will have an administrative panel that will allow you to change the colors, options, title, etc.
Most boards provide documentation to help you install and configure.
Where to Find Message Boards
If you've decided to go with option #1 and outsource a message board provider rather than build it on your own, then you'll need to find a "Remotely Hosted" message board provider.
Again, this method is ideal if your web site is hosted at Yahoo/Geocities, Tripod, Webspawner, AOL, or some other free web space provider that does not give you the functionality to create a message board on their server.
Message Board Scripts - To Install on Your Own Domain
The message board scripts below are made to be installed on your own server and it's preferable that you already have your own domain name prior to downloading these scripts. Remember to check with your hoster to ensure that they support the message board script.
After you verify you can use the script, download the necessary files, edit them as instructed and then save them to your site so the board will function.
Website Tonight
This host now provides a pre-created forum with your hosting account. There's no setup involved and you can host it on your own domain! I'd highly recommend switching to this host if you want a forum on your site but don't care to learn how to install scripts, etc. No setup required!
VBulletin
I used this script for my site WebsiteBabble.com. It's a bit pricey at $160, but well worth the price considering the features you receive. It's also not too difficult to install if you're familiar with FTP-ing files.
PHPBB
This is free and it's VERY easy to setup. All you do is download the files for the board, upload all of them to your web server using an FTP program (or whatever method you use) and change a few permissions to some files.
The site provides you with documentation to help get you started. You'll need to make sure your host supports PHP and you'll also need to create a database (check with web hoster).
WWWBoard Message Board
This forum is free but not nearly as "eye friendly" as the one above. The layout is very simple and messages are listed in one long list. The advantage to this board is that there aren't nearly as many files to upload to your server and it loads quickly.
Remotely Hosted Message Boards - No installation necessary
ProBoards.com (Free Message Board)
This site offers lots of customizable options and claims you can have an unlimited amount of messages on your board. The forum keeps track of how many members join your board, total posts, and even displays the title of the latest post on the homepage of the board. As an administrator you can edit and delete posts, create and edit categories, and even ban members if necessary. Quite a good deal for a freebie.
EzBoard.com (Free Message Board)
This is one of the popular message board scripts around. EzBoard has many features of ProBoards (above) along with such features as: a profanity filter, ability to rate users (members), ability to screen posts before they go live, and much more.