good post gec. People think often it is way to easy to set up a label, and this advice is not discouraging, it's realistic.
Besides the capital, you need a band or artist that really stands out, and that isn't easy. There are tons of new labels with artists that are 'not bad' , but definetely don't stand out. In the mainstream market, you'll be outclassed by the majors, don't doubt it. If you want to go mainstream, maybe you can find a deal with a major as a sublabel.
Otherwise, when in some kind of scene (rap, metal,..) are more open to independant label. But then again, you need those groundbreaking artist, to gain the reputation as a groundbreaking label. And there are very, very few labels who gain that status.
Otherwise, you'll end up like hundreds of labels with a profit to low to mention or more likely hughe losses. A starting capital is necesarry!! Maybe recordings tend to be cheaper these days, promotion costs heaps, and the stores don't easily tend to buy from newbies. The same for the big media, they are hung to the majors, don't expect them to play or even mention your music for nothing.
And off course, see that you get legal advice!! First do heaps of research on the subject (and I mean really a lot!!) and to be sure find a lawyer that has experience with the subject to get all things clear. If you say that you can't afford a lawyer: you're in no way to begin a label, believe me.
otherwise, good luck, and keep us posted!