If you've got Win98, you use PWS, which is on the 98SE CD (or available through one of the NT service packs). If you've got Win2k or WinXP Pro, you can use IIS. If you've got WinXP Home, you'll have to do some research because there's something special to do (can't remember off the top of my head).
Once you've got one of these services set, all you need to do is unzip the zip file into a directory under the wwwroot under inetpub, edit config.asp to have the correct settings, then enter the address in your IE (or Mozilla or Opera or whatever you use), which will be something like http://localhost/forum and you should be good to go.