Well, I'm sure there are plenty of tutorials out for setting up the HTTP server, the MTA server, the PHP processor, mySQL (and setting up a DB and giving a user permissions) and a firewall.... but once you get that done, setting up XenForo is as simple as uploading the script, then filling in the prompts.
How familiar are you with Linux? There is some complexities involved in setting up and securing a VPS/dedi using any of the Linux variants. Installation is the standard install routine of Ubuntu, you just don't want the desktop crap installed (bare bones install). Then you simply decide which HTTP server you are going to use and MTA (if you are processing your own mail).