not sure about cpanel, i've never noticed any way of setting up a forum through it.
i've set this phpbb forum up a couple of times. i downloaded the
php full package, unzipped it, then uploaded it via ftp (I use filezilla) to a folder on our webserver (deysquad.com/forum/).
you'll need to
read up on how to configure it once it's been uploaded.
make sure the webserver has support for PHP and SQL, otherwise it won't run phpbb.
setting it up is fairly easy, although the sql part can get tricky. you have to set up a sql database and make a user account for the forum.
there are many other forums besides phpbb eg.ikonboard but i have no experience of setting up any of them. I imagine they're pretty much the same.