Dear Shammie
It's a bit more involved than can be covered in an email reply, but depending on what goals
you are trying to accomplish, setting up a record label might not be your best option.
WHat are your goals?
I've written a book called "Sell Your Music" and in it is a Chapter on how to set up your own record label.
http://www.nmdbooks.com
Mark W. Curran - Marketing Tools For Musicians