To set up a limited company you need to register ('incorporate') online at Companies House. The Companies House website can provide you with the information you need to do this. Alternatively, for a fee, an accountant, solicitor or specialist company formation service can set up a limited company for you.
If you do not want to set up your own limited company, you can go through an umbrella company. For a fee the umbrella company will normally issue invoices on your behalf, collect payments from clients/agencies, calculate tax and N.I contributions and then pay you your net pay.