Starting a record label isn't as hard as you might think. You make some records, you sell them and you're a label. You don't have to register anything anywhere, get anyone's premission (other than your artists;, obviously) or anything. People have started record labels by accident on the past so it can't be that hard!
Remember that, although many some have a relaxed attitude to running a label, real money is changing hands and it is possible to get into trouble if you don't protect yourself. That means getting as much advice as you can and knowing where you stand legally.
This section outlines the basics of starting a label and gives a few hints on how to make it profitable.