You can't work self-employed in Switzerland as long as you don't have a settlement permit. You'd probably need a permit C.
As a rule, third-country nationals are not authorised to work in Switzerland on a self-employed basis until they have obtained a settlement permit.
Exceptions to this rule may be made, for instance, for third-country nationals who are married to a Swiss citizen or if the self-employment serves economic interests (e.g. will create jobs in Switzerland).
There seems however be the possibility to found a company without previously having a visa if it serves economic interests. You'll need to convince the canton that your company is worth the chance and then you might get a visa on that base:
All other persons have no legal right to set up their own business. They must submit an application to the respective cantonal authorities. Apart from the necessary personal requirements, it is decisive in the evaluation that the company will have a "lasting positive effect or influence on the Swiss labour market".
VAT will depend on how much turnover your company has. I'm not sure what's the exact number, but I think if it's below 100'000 CHF a year, you don't have to pay it. (Please check that yourself, really not sure on that part).