To expand on Devin's comments:
A forge has a heat source from some sort of combustion. It is most common today for it to be propane fired, but there are still plenty of folks using open coal/charcoal forges like old time blacksmiths. Propane forges can be controlled a bit, but you are still dealing with a very hot open flame. Coal/charcoal take a lot of skill to control and one slip in time or air blast can melt a blade.
A forge is used to heat metal in forging and for some basic thermal processes like normalization and grain refinement, but it isn't the best way to do heat treatment. Not that some steels won't work, just that you really don't know the exact temperature of the steel and holding the steel at that temperature for any amount of time is nearly impossible. *(see note below)
A HT oven/furnace/kiln is almost always electric. It has a controller that sets the temperature and holds it accurately at that point. Most also have program settings to set up a complete heat treatment protocol of temperatures, hold/soak times, ramps, etc. A suitable HT oven for normal length knives runs around $1000. It allows you to HT most any steel and do it exactly right with no guessing. The difference in blade quality will be noticeable.
* Years back I came up with the two-stage forge burner controller. It is a simple PID control running a solenoid and a by-pass valve to allow the flame to stay on at a lower level while the solenoid is closed. In a well-built blown forge that is properly adjusted, and used with a muffle pipe, it can maintain a pretty tight temperature for using the forge to do HT. It only works for carbon steels, but allows folks with only a blown forge to do more accurate HT. The schematics and build info are in the stickys and build info can be found in several threads by folks who built them. Depending on your scrounging abilities, the PID controller system can be built for around $100-200. A good blown forge can be built for $100-200, depending on your scrounging skills. There is a sticky on building forges and many threads and articles on making a forge, too.
You didn't state what type of three burner forge you have, but some venturi forges can be converted to blown pretty easily.