This is basically a logic problem.
You can't be an admin unless your in the admin group but you have to be an admin to grant permissions to the admin group.
The trick is to do the following:
1) Turn on SSO and log in with the user you want to be the admin. This will create the jForum user entry.
2) Turn off SSO and log in with the "native" admin user created during the install.
3) Add the SSO user created in 1) to the admin group
4) Re-enable SSO and the SSO user will be in the admin group.
[originally posted on jforum.net by monroe]