What Do I need to set up my own recording label?

Try this site: http://www.payscale.com/research/US/Degree=Bachelor_of_Arts_(BA)%2c_Business_%26_Marketing/Salary#by_City

You will want to concentrate on what city have the highest pay? Who's hiring who? What is the term of schooling needed, and so many more questions can be answered just by clicking the link provided. Hope this helps.

I would always advise working / interning for at least 2 record labels prior to trying to start your own but sometimes that is the wrong advice depending on the person. I would say - having been a DJ and having some friends in the music business that:
1. it is clearly not a very profitable business
2. it shouldn't cost a lot to start officially - for example, Stripe has a kind of turnkey start a business service now that i think is less than $1k to incorporate and setup a bank account etc: https://stripe.com/atlas
3. in general, it is usually a BAD SIGN if you are worried about "starting the business" first and aren't already managing bands, booking them at venues, making money negotiating, etc. in other words, substance first.

4. most of the $ in business is in live events not recording (though some media licensing is OK $)

I'd like to echo Rob's excellent answer. It's a big, big question to answer here. Even 15-20 years ago when the business was more stable, it was a tough business.

I'd like to focus on two questions for you to answer:

1.) Is this a vanity record label that you will only release your material on? Or will you sign other artists?
There's nothing wrong with having a vanity label, and perhaps that's not quite a correct name. But you should decide that at the beginning.

2.) Are you planning on having some kind of distribution?
Back in the bad old days (good old days?) an artist or a band could do everything a label might do, but if they didn't have "real" distribution thru a "real" company, then they weren't truly a record label.

One of the things that Punk Rock taught us (or perhaps reminded us) of was the D.I.Y work ethic. That stands for Do It Yourself.

I won't go into all the details of what record labels do here, but I can say that, ironically, individuals can now attain distribution rather easily. All you need do, for example, is to send your CD to CDBaby, and for a few extra bucks, they digitize your product and service all of the major digital outlets, including Itunes.

Lastly, getting distribution is just the first step. You need to know how to "work" your record to promote it thru radio, press, Peer-to-Peer and all the rest.

I'd be happy to send you a digital copy of my textbook, "Make Music Your Day Job, but I'm not sure how to do that via this site - do you know?

Good Luck!

Kevin