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To forge a weapon, you need ores. Ores can be mined from caves using a Pickaxe in The Forge. Once you have ores, head back to the Forging station, where you started the first quest of the game. Also ...
When you first start playing The Forge, the intro quests will guide you toward creating your first weapon and armor. However, if you're not sure how it works or perhaps skipped through that portion ...