No point in opening a business unless you have sufficient customer base to support it. There used to be a gun store in every town in America, but they are being squashed by the big box stores, and a place to shoot doesn't seem like that big a draw in a state like Montana.
To answer your question though, The licenses to sell firearms run about $3000 last I heard, To manufacture, sell , and export firearms machine guns and destructive devices the same any BIG company is only around $11000. Insurance I have no idea but make sure you get a company that will not terminate you on a political whim, if you plan on accepting credit cards, exercise the same caution.