The forums seen in the demo site are created using the bbPress plugin. Please install and activate this plugin from Plugins > Add New and search for "bbpress".

Once you've activated the plugin your forums should be located at http://my-domain.com/forums

To set up the forum layout seen in the theme demo you need to create category parents for each group of forums. For example on the demo forum (https://aardvark.ghostpool.com/original/forums/), "Forum Category 1" is a forum category and it has three child forums called "Forum 1", "Forum 2" and "Forum 3".

Go to Forums > New Forum to create a header and on the right hand side select "Category" from the Type dropdown menu.

To create a forum under this header go to Forums > New Forum and on the right hand side select "Forum" from the Type dropdown menu.

This is how the final setup should look: