A contact form is simply a mailing list. Go to "Manage Mailing Lists" and click on the "Define new mainling list" button.
Once you give name and define the other settings, click on the "Configure as contact form" link. You'll see the following screen:
Simply check the checkbox and optionally set an auto-reply message.
Then save the mailing list and you are all set! If you wish you can add custom fields, assign autoresponders, and send newsletters to the people in this mailing list as well.