First, you will need to find the red minions to power the forge - this is story based and you cannot find them before it is time to do so.
You will also need a forge stone, the first of which can be found in Nordberg and is pretty hard to miss if you follow the story quests.
Once you have both of these, travel to the forge in your stronghold to select a weapon to forge.
You will require a mixture of life force orbs and gold to forge any weapon, the cheapest of which will set you back 6,250 gold and 125 brown lifeforce.