Before you do anything else, you need to make a plan as you would for any business. You will want to focus on a particular genre, one that you are especially passionate about. This will also depend on how successful you want to be. Pop music is going to be the big money maker, so if earning the most income is your goal than this is the way to go. If you want to focus on alt-rock, this will require a different approach and outcome. If you are going the free route with your label to start with, from here you can move onto going to local shows to acquire talent for your label. Otherwise, you will need to create a business plan in order to get a loan to start your label.
There are things that you can do in order to minimize your costs, no matter which method you choose when starting your label. You can stick to just releasing digital music, not requiring you to make hard copies to sell