It's a little bit more complicated than just uploading the files via FTP - you will have to create a database for the forum software, a database user to access the database and then configure the forum software to use them...
Without knowing which control panel you are using on your hosting I cannot really be more specific - if you get stuck then drop me an email sales@twdhosting.co.uk and I will install your chosen forum software for you
(you will have to upload the files though)
As for which software to use - I agree with Brian... vBulletin is the daddy but is not a free option, SMF is probably the best of the free ones available.