In the USA contact your State Tax Department about Sales Tax and business registration.

It may be worth talking with a tax accountant about the allowable deductions and what records are needed to support a deduction. If you work from home and have a designated office space you may claim some of the home heating and power bills as business expenses. Also software, books etc.  Income - deductions = taxable income.  If you employ people you need a Federal Employers Number and need to do the tax forms and withholdings for Social security.

Marketing. Depending on what you are teaching and how , you may be able to put an item for sale on websites like renderosity, or promote your site on any user forums you can.

Website setup is too broad. Theres lots of hosting companies but actual design will depend on just what you need to do, like streaming video, credit card transactions etc.  There is a web forum that you might ask at.