You need inswool, kaowool, or some other mineral fiber or ceramic blanket insulation. High Temperature Tools and Refractory (hightemptools.com ) carries everything you need. They also have great FAQs on all the materials telling how to use them.
You need at least 1" of the wool blanket as the insulation liner of the forge shell (I prefer 2" of wool), then a coating of refractory over that. The refractory almost everyone uses is called Satanite. You put between 1/4" and 3/8" of this over the wool blanket and cure the refractory slowly. Once the satanite is cured and fired, you can use the forge, but for better performance and life, a thin layer of ITC-100 over the satanite is a good idea. This coating is about 1/8" thick.
The stickys has info on forge building, and a search with the custom search engine ( also in the stickys) will find lots of forge building info.
Just a question for curiosity, but how old are you?