I downloaded Minecraft forge and it said I had to run Minecraft manually at least once first. What does that mean and how do I do it?
It means you simply have to load up minecraft once. When that's done, Forge will be able to work. It needs minecraft to write all the necessary files for Forge to use.
Let us assume you want Forge for 1.8.
You need to go and open the minecraft executable, and change your profile so that it will boot up 1.8. In the right hand corner of the launcher, it will say something like
Ready to download and play Minecraft 1.8
Click the big button that will say "Download" or "Play", and wait for the game to begin.
You will then be able to install forge for 1.8.
NB: This will work for any version, just for an example, I used 1.8.