You will need to research on what type of coding you are comfortable with. PHP, CGI/ Perl, etc.. Then depending on your script/forum you would like to use, you need to have a bit of knowledge with either mysql or flat based database. Again, your script documentations will let you know what its' requirements are.
As for banner ads and such, most free and commercial scripts do not have those. You run your own server now. If you are hosting on a free webservers available on the net, then yes, they do require banners and links on your forum to produce income and adverts to there free hosting site.