It all depends on what kind of functionality you want. Something like this forum would take much work to accomplish. But if you're looking for a very very basic board, you'll need a database which contains tables for discussion groups, topics, and posts (possibly even an admin table depending on how much work you want to put into it).
You'll need to know some SQL for the DB you'll be accessing, and how to use the components to make that connection (for MS SQL Server, you should use ADO, other DB environments have separate access components).
Make sure you plan ahead of time.. decide how you want it to look.. how you want the menus to display.. how the groups and topics should display.. then code around that..
You'll need to query the DB for the list of groups, then when someone clicks on a group, you'll need to query for the topics, then when someone clicks on a topic you'll need to query the DB for all of the posts (the topics and posts could be joined together in one table if you wanted to.. you'd just have to flag a post as being a topic).
You'd be reinventing the wheel, but there's nothing wrong writing something from scratch if it already exists. It's how I learned most of what I know...