First you need a host, shop for good price and features!
How to install Simple Machines Forum or SMF 2.0 with Database setup instructions. This was done using HostGator or BlueHost, Shared Hosting. The walk through for GoDaddy Shared Hosting would be almost identical. If you have a request to see how it is done with Godaddy, please comment or visit my website and contact me with a request. I will be happy to do a tutorial on Godaddy as well.
learning is so much fun!
Please note that now days you can have this auto installed with the above host with Simple Scripts... however, you may want to learn how to do this, to expand your knowledge some!