If you are in for knifemaking, you'll need a forge, so better start sooner than later.
You can find lots of sites with forge plans just typing "forge plans" in the search engine of the forum and get the URLs from the posts.
I think your best choice to begin is the classic "one brick forge".
It'll allow you to forge small knives and to heat treat them.
You need:
2 soft firebricks
2 bernz'o'matic propane burners or 2 mapp gas burners.
1 wood chisel (1/2")
1 half round coarse wood file
32 gauge annealed iron wire.
(Satanite - optional)
The soft firebricks can be purchased in any hobby store selling stuff for ceramic or, even better, glassworking. The same for the burners.
Go to local Walmart or equivalent and get the chisel and file.
WHATEVER YOU DO FROM NOW ON, YOU DO IT AXIALLY ALONG THE LENGTH OF THE BRICK, NEVER EXERTING ANY TWISTING OR PRYING MOVEMENT OR YOU'LL CRACK THE BRICK
The following process wil produce a lot of dust. SAVE ALL YOU CAN and put all that you can in a can.
Get the brick, and use the chisel as if it were a drill bit, by hand to drill a hole in the brick. Gust gently push it and rotate it.
The chisel won't be long enough to go through. So drill one side and then the other.
When the hole is done, use the same chisel pushing it inside to enlarge the hole. Go on a little bit at a time. The goal is having a cavity which is oval in section, and as smooth as you can get it.
You don't need it to be very big. Leave at least half an inch per side, 3/4" is better and at least 3/4 above and below.
The cavity may be 2,5-3" high and 1,5-2" wide depending from the dimension of the brick, no more.
When you ahve roughed out the cavity, use the wood file to smooth it down and make it as regular as possible.
Keep in mind that the center of the caviti will tend to be smaller than the extremities, due to the process of digging it. The cavity walls should instead be as parallel as possible. If the cavity is hourglass like you'll get a cold spot in the midst, if it's barrel shaped you'll have a hot spot.
When you are done with this, use a corner of the chisel to cut some shallow channels in the brick, for the iron wire to lay in where you will wrap it (all around the long side, over and below the cavity, and twice around perpendicularly to these first wraps, at the sides of the holes for the burners).
Now use the chisel to VERY GENTLY drill the holes for the burners, so that they are angled upwards and that the burner is at a tangent with the curve of the cavity, not throwing flame directly into the chamber, but against the top, so the hot gases swirl around and help to have a nice smooth temp all over the forge.
You may want to line these oles with satanite or other refractory cement to make them stronger, as the burners will go inside there.
End of the story. light the burners, put them in the holes and in a few minutes you'll have your forge hot and ready. The second brick is for closing the back of the forge if you don't need all the length and want to preserve heat from escaping from the back (this will heat the point more quickly than the rest, though).
FOR HEAT TREATMENT:
1 Stereo magnet
1 liter can of vermiculite or the dust you saved before.
2 empty metal nacho (or peanut) cans
2 7,62 NATO ammo cans (the green ones with the clamp)*
1 gallon 15W40 motor oil.
* Verify during purchase that the rubber gasket of the lid is in place and in good shape.
First verify that the ammo cans are really sealed when closed by filling tem in water, closing them, wiping them perfectly dry and shaking them wildly. No water should come out.
Completely dry the inside of the first can and fill it with the motor oil.
Fill the other one with water.
Fill one of the nacho cans with the dust from the brick, or the vermiculite.If the dust is not enough you can grind about 1/3 of the second brick, from the SIDES, making sure you don't make it too small to close the forge back opening.
To make the knife, put the file into the forge and heat it up to non magnetic. A big stereo magnet can help.
Then take the file and carefully keep it vertical in one of the nachos cans. Pour in the dust or vermiculite from the other can, and let it cool slowly.
It will take hours.
When it's cold, it's annealed.
Grind or file to shape, clean to at least 200 grit, leave at least 1/64" of edge thickness.
Put in the forge, bring to non-mag and as soon as it's non mag let air cool completely.
Do this twice more. Verify the blade has not warped. If it has you can straighten it gently.
Repeat three times from the last straightening.
This is called normalizing. It refines the steel grain and relieves any stress remaining in the steel.
NOTICE HOW THE BLADE WILL BECOME NON-MAG AT A CERTAIN COLOR, BUT WILL REMAIN NON-MAG WELL AFTER HAVING DROPPED BELOW THAT COLOR!
The steel will still be non-mag, but hardening it when it's too cold won't produce a hard edge!.
Now take the blade and pass it directly in front of the forge opening until it starts changing color. These are called temper colors. You'll need them further on. For now they only say your blade is heathing slowly and evenly.
They are (from harder to softer: I'll explain further on)
pale straw yellow
straw yellow
yellow-brown
brown
purple
blue
light blue
bueish gray
steel
When the blade has gone all the way through the colors, and is steel colored again, put it directly in the forge. Periodically check for non mag.
Keep at hand, near (but not so near to risk fires!) the can filled with oil, open and ready to accept the blade.
The oil should be at least warm, better if at least at 40°C (dunno how much is in °F)
You can warm it with a heater if in winter.
At non mag, put the blade into the forge, wait about 30-60 secs more (depending on thickness) and then plunge immediately and completely in oil. If you leave part of the blade above oil surface you risk a fire.
Keep the blade still for the first 30 seconds, than slowly and gently stir it. Keep it submerged until, when stopping, you see no swirls (convective movements) in the oil. You should withdraw the blade only when it's cold.
Wipe the oil off.
test the ede with a file. If the file skates off the edge, the blade did harden. If it bites it didn't harden in oil.
Repeat normalizing and heating and then quench in water.
If it doesn't harden in water it means the file was made of soft steel and case hardened and you can't get a decent knife from it.
If it hardens, BE VERY CAREFUL. It's now very hard and brittle as glass.
Clean the surface with the grinder or sandpaper. If you use a grinder be extremely careful not to heat it too much. If it's too hot to touch, it's too hot and you should cool it in water.
Keep the water can at hand when cleaning.
This should be done quickly, especially if you quenched in water.
Then take the balde to the forge again.
Block the rear opening so that hot gases come out from the front and keep the blade over the opening, at least 4-5" above, and let the blade gently ehat.
BE CAREFUL! Keeping the blade too near the opnening will made it heat in a non homogeneous way and it will heat too much spoling the heat treatment.
Turn the blade one side and the other, as you want to see when the metal starts changing color, and by the time you see the change on the side towards you the one towards the forge will be too hot.
Be careful with the tip of the blade: it heats up in a jiffy, so keep it out of direct heat. It's best to start with the blade too high on the forge and then lower it slowly if it doesn't heat. You may need 15-20 minutes to obtain a proper heat. Good, the gentler the heat the better the tempering. When the blade reaches the proper color (dark yellow for short stout knives to brown for long ones which should do some chopping) take away the blade from teh forge and quench it in oil.
The blade is now tempered.
Repeat the process to get a better temper, after cleaning once again the balde (you are in no hurry now).
This is all you need. And a lot of patience
) 
