FP 2003 provides a way but via Frontpage Server Extensions - which are actually going to be gone in a few years it seems with MS going to the new program - Expressions.
A forum is a key element to operating any web site. In fact, some web sites consist of a forum and nothing else. These message boards are popular because you give your visitors a voice on your web site, allowing them to express their thoughts and ideas. It usually creates viral traffic for your web site as well, since people will naturally return to the web site to see if anyone has made a reply to the topic they created on the forum.
Building a forum from scratch would be an interesting project... but long and unnecessary unless you're really interested in learning how to do it.
If you want to get something off the ground quickly, there are some great, free, open-source forum scripts that you can download and install on your own server pretty quickly.