To craft the Forge in Valheim, you must first create the Foundry and Furnace, then mine for Copper Ore.
The Valheim Forge requires a handful of fairly standard materials - stone and wood - of which you should now have a healthy supply. The other two - Coal and Copper - require two new crafting items to create (well, except technically coal, which can be created by burning your food). Charcoal Furnace and Foundry recipes are unlocked after you loot a Surtling Core, and you'll need ten in total to build these two items. You can read how to find surtling cores in our guide here if you don't already know how to do it.
You will also need to mine copper ore from the Black Forest for your smelter. Since the Copper and Surtling cores are found in the Black Forest, I recommend that you create an outpost in the biome for all of your fusion needs and future metallurgy work. It'll save you travel time, give you a place to store your ore and repair your pickaxe, and it'll act as a nice shelter away from home. Whether or not you've listened to my advice, once you've built your smelter and furnace, and mined at least six pieces of copper ore, you're ready to start your smithy.
Feed 25 kiln wood to create 25 pieces of coal, and bring 20 of them to your smelter next to the copper ore. Once the copper comes out as bright solid plates pop out your hammer and find a nice, sheltered spot (with a roof) to lower your forge. Congratulations: You can now combine copper and tin to create bronze, which is used to craft a bunch of new vital items. You'll need 2 copper for each box to make a single piece of bronze, so if you haven't dried your eyes yet, well, you're about to do (and that's why I suggested to build a Black Forest outpost).