Did you fail in the middle of the installation process? What database did you specify? You need to create the database unless you choose to use hsqldb database.
I just run into the same problem when I copied the war file to another machine but did not create the database (MySQL) and I forgot that I once disabled the "Install=..." control file in moduleMapping.properties when I successfully installed JForum in my development machine.
Just to share my experience. Hope it help somewhat!
I was having the same problem. If you're installing by hand then you have to rename __index.redirect after all the other steps (removing index.htm first)
This file has a different name in the help page, so it might vary with version.
Hope this helps [originally posted on jforum.net by falius]