Starting your own forum is pretty hard. First of all there are services which offer you forum installations on their own domains, but I don't think you could add your own ads.
The best thing to do is purchase a domain, get a forum script like vBulletin (like this forum), phpBB or IPB, install it, configure it and let it ride. Like I said it's not easy, the promotion is really really hard, but once you get it going it's ok.
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