You should check with your state agency to see what is required to set up a business in your state.
But if you don't know and want to learn more about starting a business, check out SCORE in your area (just google) and check out the many resources they offer for starting a business. They offer free counseling and you can meet with other business owners and determine what it is you need to start a business in your area.
Janine's right, it depends on where you live. Check with your state chamber of commerce and make sure you understand what taxes are due relative to your city, county, and state.
Where I live, no license is needed but I pay tax to all three...