If you need advice on whether you need to open a partnership, proprietorship or a limited company here's an interesting article
The Right Sort Of Company | Opinions - IN - Yahoo! News
However if you are asking the question on how to go about, here's a few steps:
1. Get clients - To get clients you need to show reasons why they need to entrust their search process to you rather than an established recruiting firm. To do that you need to show a unique proposition that your competitors do not have
2. Get candidates - Once you get clients you need to focus on candidates that you need to present to the client. You can rely on jobsites - but you have to realise that many other recruiters would also have access to them. Are their passive candidates that you have access to that others don't?
Hope that helps