you can get a lot of this information by contacting the government agencies that regulate business, probably the Secretary of State. They can point you in the right directions. Possibly, you may find that you want to use an accountant to help you, but I would suggest that you obtain much of the information yourself because it is simply cheaper. Here is one website I found with a simple google search http://www.wikihow.com/Set-up-a-Sole-Proprietorship-in-Florida. There were plenty more where that came from.
As Susan suggests, you can also check with the city on questions of zoning, particularly if you plan to run a business out of your home. In many places, one-on-one training is not a problem in a residential area. However, they usually do not allow a club with a lot of traffic.
After you have made yourself more knowledgeable, you can always get a accountant for the finishing touches.
I wish you good luck and success in your business.