If you want to install phpBB:
download the archive like erk said. Extract the files from it and read the INSTALL.html file in the "docs" directory
If you want to learn how to make a website, this is a good place to start:
http://hotwired.lycos.com/webmonkey/fro ... nners.html
It takes effort though, you will need to read a lot before it starts making sense. Good luck, and please try to have a specific question when you are looking for help 8)