You don't need a welder to build a forge. I've made mine from a piece of black stove pipe, insulating wool, and soft refractory bricks. All together maybe $50. My burner is made from pipe fittings from Ace hardware...
http://www.youtube.com/user/lanemoore
If you are willing to spend real money, spend it on a real anvil!! I used a Harbor Freight ASO for a while. It worked fine just took more heats and time. Great for a beginner! There are lots of options.