There are several challenges that you may face when setting up a new radio station.
The first challenge that you may face when setting up a new radio station, is the challenge of acquiring government licenses. You will come to learn that contrary to their rhetoric, governments are usually very cautions when it comes to awarding these sorts of licenses. You should therefore be ready for, among other things, very thorough vetting.
The second challenges that you may face when setting up a new radio station is the challenge of acquiring frequencies for the station.
The third challenge you may face when setting up a new radio station is the challenge of acquiring the physical infrastructure for the station. When we talk of physical infrastructure, we are not just looking at the studio equipment and the transmitters for the station. We are also looking at things like big cars (like, say, 7 passenger vehicles) for transportation of the reporting crews to spots where stories arise. Not just any big cars will do here: you have to go for easily modifiable big cars like the ones described here if you are to be successful in transporting news reporting crews with their often bulky equipment.