Before you start a label, I suggest a few English literature classes.

But anyway, I digress....
It is not necessary to have your own record label to release your music. But you can still retain all the rights to your songs by following a few simple steps.
After writing and recording the songs, send them to the Library of Congress for copyright. Then, join a musicians union (like ASCAP, for instance) and register yourself as a publisher. Publish the songs under the name you choose.
My partner and I published our songs under "Two Mac Music". We own 100 percent of the rights to our songs, and therefore would receive all the royalties/mechanical licensing fees from radio airplay or from another artist, should they decide to do a cover of one of our songs.
Copyrighting and publishing are the things you need to do first.
As far as a label goes...
Do you have a shitload of cash to toss around? Labels spend money to attract artists and bands, and spend even more money recording, promoting, and marketing that band or artist to the masses.
My partner and I released a ten song CD independently. Like I said... having a label is not a necessity.
If you'd like to see our finished product, check out our website.... (you'll need a high-speed connection, though)
http://go.to/MacBrothers
Good Luck... I hope this helped you.
....Buck