Your question is quite confuse. In my understanding, you want to allow anonymous users to browse the forum, but now reply / post anything. If it is that what you want, just disable anonymous posting in Admin Panel -> Groups -> Permissions.
However, if what you want is to deny *reading* the messages, then there is no role for that. If it is really really really necessary, you may edit the file "post_show.htm" and add a section there to check if the user is logged. Something like
Rafael [originally posted on jforum.net by Rafael Steil]
You showed up just in time for the waffles! And this tiny ad:
Building a Better World in your Backyard by Paul Wheaton and Shawn Klassen-Koop