It's very easy to install. Just extract the archive in your document root directory and point your web browser to the directory, it will automatically start the installation, asking you questions about your server. You do need a database created already. The installation just creates the tables, not the actual database.
I like phpBB2 and Olympus, the phpBB3 beta 5 version. SMF is also gaining in popularity and is also "installed" in the same way.
You can see what the new Olympus is like by going to
http://area51.phpbb.com/phpBB/ But just check out a couple and see which ones you like. Remember, the looks are not that important, you can always change, install new themes, it is the functionality that you should look at and the support they offer.