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One of the very first steps would be to look into the licensing laws in your state. They vary state by state, and that could definitely play a factor in opening your own practice. See what it takes to get licensed (some states require so many supervised hours of counseling after your graduate degree to become a licensed counselor).
Also, reach out to your professors. Lots of times, professors have their own practices on the side. See if they have any tips for you.
Hope this helps :)