Yup, the only real caveat is that it would require separate logins (ie, the login from your DKPSystem.com site would not be linked with your login in your forum).
If you head to Admin > Menus > Menu Administration, you can disable the "Forum" link, and add a new one in its place specifying the URL of the externally hosted forum.
i have done as you guided and it worked well.... just one thing. i want to have it on the site ( not pop up in new window) and it shows up there. but i need to change the Height on it. default it´s 450 but when i change it to more nothing happens.