Hi Sentinel,
Being a courier or setting up a courier business is relatively straight forward.
I think Kevin covered the majority of what you would need.
It all depends what level you want to go for?
If you just want to be a courier, you could find that working for one of the 'nationals' could be beneficial. Yes the rates can be lower than going direct, but the volume is there to hopefully reduce as much dead mileage as possible. It would also give you a good insight to the industry.
Going for it yourself is an option, but what do you do if you get a few customers, then they both want you at the same time to go different ways? how would you cover it without letting one down?
can you find (harder than you may think) enough customers to provide an income and service all of their needs?
What type of service do you want to offer? Many people, as seen above get a courier mixed up with an overnight parcel carrier. Yes DHL and Yodel are struggling, Citylink just got sold for a pound, TNT and UPS were looking to merge, but they are a seperate sector in the industry. To me a definition of courier is collect from A and deliver DIRECT to B. No offence meant to anyone by that comment.
Is it sameday you want? Is it overnight parcels? is it retail delivery? What size of vehicle would you use? and the main one is the area you are in.
Do you have much competition where you are? I would strongly advise to research the industry in depth, and get a clear idea of WHAT exactly you want to do. Too many people get made redundant or unemployed, think they can just buy a van and that's it.
But on the flip side, get it right, and it can be a great job, lots of adventures and everyday is different!
Just ensure you have a HEALTHY pot to start up with as it can be a long haul getting the customers and more importantly getting paid!
Good luck and feel free to ask if you require any more advice.