Open Question: How do I go about starting my own business from scratch?

My friend and I often get together to make audio recordings (music and comedy at this stage), design CD covers, take photos, and hopefully one day make videos. We plan on one day putting all this together into a single business with different branches. So...how do I do this? Will it cost much money (excluding the prices for equipment)? And who would I need to approach, if anyone?

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