Every CoursePlus site has a Discussion Forum. There's nothing to set up as every course has a Discussion Forum with a single, default category titled "General." By default, students can start creating topics and posting in your Discussion Forum.
You probably want to give a little thought to how you'd like your Discussion Forum organized before the course begins. While you can have a Discussion Forum with a single category — General — and lots of topics in that category, it can become unwieldy over time.
If you're going to have a Discussion Forum activity in your class, you'll likely want it to have its own category, or be put into a category that reflects its status as an activity in the class. You might want to create categories or topics for each week of your course so that students have a basic structure in which to post questions get answers. If you have homework, LiveTalk sessions, online lectures, you might want to create categories for each of these things to help organize student discussions.