It is very overwhelming and I know where your coming from. It's hard to decide what to do first.
Getting a good business plan in place is probably the best first step as you can layout all the steps and stay on track. Once you have that together it cannot hurt to get a marketing plan in place as well. It's also a good idea to get involved with organizations and networking groups which will help you stay on top of the latest trends and changes in the industry. You will also want to check out business licensing requirements in your county, state requirements and of course the good old Tax regs
knowing how you want to structure your business tax wise will also help you determine the direction and goals of your business. All of this combined with getting your equipment, software, training, books, compliance plans, fee structures, attorney/contracts, etc will ensure you will be ready when you open your doors. Remember to go slow and not get too overwhelmed. Slow and steady wins the race.