It's all down to how confident you are in your own skills. To be a contractor you have to be VERY confident to be able to go onto a site and start work straight away, no matter what the system is.

My current client is interviewing for further contractors at the moment and I've been involved in the technical side of the interviews and most of these contractors know very little of VFP (DBCs, datasessions, OO design, etc).

Some of them look blankly at me when I ask them to explain their understanding of these areas and how they've used them.

If you are as confident as myself (and the other developers here who keep getting renewed), then you've nothing to worry about.

Setting up is as simple as buying a company name (through an accountant is best) and contacting the agencies.