Decide whether you wish to start a broadcast radio station or one that can be heard over the Internet. (It's also possible to be both!) Broadcast radio is regulated by the Federal Communications Commission (FCC). They receive nearly 30,000 applications for new radio stations each year. As a result of those numbers, it's unlikely that you'll get your own broadcast radio station immediately.
Set up a website and a radio transmitter if you are lucky enough to get a frequency from the FCC. Wavestreaming, a website that helps people start and market their Internet radio station, advises you (whether or not you broadcast over the air) to maintain a robust website. The "listen" page should be clear and easy to use, and a playlist page should make it simple for listeners to identify the show they're hearing. Include a statement of faith that will allow customers to easily tell whether their views are compatible with theirs.
Build your playlists and daily schedule. While you can play anything you like at any time, it's a good idea to maintain some regularity so your listeners know when to tune in to your station. Because your radio station is a Christian one, you will have to make sure that your hosts and the music you play match your view of the Bible. For example, some listeners take a dim view of Christian music that isn't centered enough on religion. Others, on the other hand, find that music satisfying.
Record jingles and radio identification statements that serve as transitions between shows and commercials and songs. Talewins.com points you to companies who will do this for you and computer that will allow you to do it for yourself. Broadcast stations generally must identify themselves at the least at the top of the hour with their call letters, frequency, and broadcast location. Internet stations are not bound by such requirements. Come up with a name for your station that will immediately sound "Christian" to listeners who are flipping through different stations.
Broadcast, transmit, or stream your programming. If you are lucky enough to have a broadcast frequency, invest in a professional radio engineer while you are starting your station. For an Internet radio station, you can simply use programs such as SHOUTcast which will stream your music and walk you through the steps. Once you have been broadcasting long enough, you will get feedback from your listeners. Use that feedback to refine your programming and continually refine what will be most spiritually satisfying to your listeners.