A little more detail from me, who has done it a few times. I'm going to assume you have a webserver all ready. In fact, for this dummy example, I'll be placing the webserver on my own computer using a very handy program called easyPHP, which sets up an Apache Webserver, PHP, and MySQL all nice and ready for you, though you may have to get your MySQL info, like a password yourself.
Anyway, place the downloaded package (unzipped of course) for Simple Machines Forum, then open your webserver to that folder (let's assume you placed it in a folder called 'forum'. This would make our url
http://localhost/forum OR
http://127.0.0.1/forum). Now, run the install.php page from a web browser. Everything from there is very easy to do. Just follow the instruction. You'll have to use EasyPHP to find out your username/password for MySQL (by default, I believe it is 'root' with no pass).
Of course, my theme for this board is not released to the public yet, but I may when I have perfected (close enough) it.
