How to make a forge or How to start as a blacksmith
Webster 1913 gives several good definitions of 'forge' below, but it's always good to have specific information.
First you need space, an area to work in, places to put things, etc. It helps if this area is both well-ventilated and not 'cramped'. To give a general idea, a 20' by 20' (400 square feet) is plenty, but 8' by 8' is not enough for most blacksmiths.
Next, it's good to enclose the space. Whether you care about your neighbors enough to offer them some noise insulation, or you have issues with inclement weather (or a host of other reasons, definitely including the possibility of shelves on walls), an enclosed space is often much more effective than an open one.
Now you need tools. Pick sturdy hammers, tongs or pliers, at least one sledge (3 to 5 pounds is good), perhaps a chisel or two (you can make these if need be), and an anvil. Actually, the two most important tools are your main (used most often) hammer and your anvil, so choose these wisely.
You need to mount your anvil somewhere (unless you plan on hammering at ground-level). I took a 55-gallon barrel, cut off the 'bottom 1/3' (i.e., when the barrel stands 'upright': that bottom 1/3), and welded it to the top. So I had a '1/3 55-gallon drum height' depth. I filled this in with some old bricks and concrete with my anvil on top (set in the concrete). Once the concrete set, the anvil had a much higher ring to it. I recommend earplugs for all would-be blacksmiths.
Now you're interesting in heating up some metal. I used 55-gallon drums (for some reason I had a whole bunch readily available) for this. I cut small holes (for air) in the top of one barrel and cut off the bottom 1/3 of it. I cut off just the bottom 2" or so (just the lid) from another barrel, then welded these together. Then I cut a hole in the side and the top and the very bottom side. The hole in the side is for putting in metal to be heated, and fuel as needed. The hole in the top is for letting smoke/fumes out. The hole at the very bottom side is for forced air input (like an industrial-strength fan). The fuel I wanted to use is Madrone wood, but there was very little of this where I was at, and the little we had was used to heat the house. Instead I picked up branches. That worked alright. I managed to make a couple caltrops on that.
Lastly, you need metal and imagination! You could buy metal, or get scraps from construction sites (rebar is good for chisels). It takes quite a bit of experimenting to find out how different metals act and shape up, so try a lot of different stuff! Making simple things like spoons and knives will get you started fairly easily. Have fun!
Also, a Forge is an upgrade center for Protoss in Starcraft. This is the place where you can upgrade ground weapons and armor and plasma shields. This building is required for photon cannons, and requires a gateway.