Eg, there is another setting you must do 1st:
Here is a full process!
1) Admin Panel
3) Structure and hierarchy *It's under the Homepage Catergory on the sidebar*
4) YOUR SETTING MUST BE ON
Keep categories on index :
*IF NOT, THE SUBFORUM LOOKS WIERD*
5) Then you just add forums and select "attach to" whatever forum you decided.
Hope i could help