Choose a name for your company and have it trademarked. This will prevent your name from not only being used by someone else but will also prevent the mistake of using someone else's already trademarked name. Visit the United States Patent and Trademark Office to not only register your trademark, but use their provided links to their Trademark Electronic Search System and Design Search Code Manual to ensure that another person hasn't already trademarked any names or symbols you wish to use.
Have generic contractual agreements between yourself and any musicians you would like to sign to your downloading company drawn up. Look in the local phone book or other directory for a good contract lawyer to help you create the contract. You will need to come to agreements on distribution of music, permission to use the band's lyrics, artwork and image to promote material, royalty percentages and any storage fees of digital music.
Set up a PayPal account for making and receiving payments. There are a variety of other methods for making online transactions; however, there is one specific reason choosing PayPal is the way to go: it's the most trusted. You want your customers to feel safe doing business with you, and using a service they are most likely already comfortable with will alleviate any jitters they may have about trying your company out.
Find a third-party web publishing company to create your initial site. Though it is best to use your own server and have the freedom to change the look and layout of the site at will, doing business online will require the use of specific security certificates and protocols. Leave this up to someone who has expertise in the field so both you and your customers can do business safely.
Purchase numerous domain names for your site. You will want to have a main name that people can familiarize themselves with and then similar ones that will redirect users to the main site (i.e., if your company's name is Music Lords, you will want to own musiclords.com, musiclords.net, music-lords.com and musiclords.org so other people don't create sites unrelated to your product that mislead your customers).
Gather independent artists who will agree to let you post their music on the Internet for download. Representatives of major label recording artists will be difficult to contact and, though they could draw a great deal of attention to your new business, will likely charge you a large initial sum for doing so. There are many local and regional musicians on social networking sites such as MySpace, Facebook and Vampire Freaks; try to find bands who you think are talented enough to sell their music or who already have an established fan base.