How do you start a marketing firm?

I know it's not for everyone and I know you need an extensive knowledge. But I was wondering who can start a marketing firm/consulting business and how would you go on about starting it?
Anybody with some knowledge of starting a marketing firm, please give me some detailed information because I am anxious to know.
I graduated with a degree in Business, and unfortunately I have not taken many marketing classes. But I am willing to take more if needed.
Let me know how this works. Thanks a lot!

I have been in marketing for several years now and there is one thing I can promise you, you will have to develop several skills if you want to be successful. Unfortunately these skills cannot be learnt in the classroom. You have a degree in business, so hopefully you will know a little about how a business operates, but did you get a thorough Financial Education along with it, my guess is you didn't. Also you will have to learn how to sell yourself, marketing is all about educating people and showing them why they want your thing, but they won't even listen to you if they are not attracted to yourself.
You will have to learn how to overcome rejection, but remember that rejection = success, the more times you risk rejection the more successful you will become.
My comments above are not just aimed at marketing but to business as a whole, so provided I haven't frightened you off completely here is a suggestion for you, a way you can learn all the skills which you will need, in as short a time as possible, and at the same time be creating an income for yourself.
At the end of this answer under sources I have put a web address, go there and watch the video, where you will see an explanation of a type of marketing where you can develop all the skills which you will require to be successful in any form of business. I have also listed a book which is very worthwhile reading
If you like what you see then get back to me by email and I will talk to you further.