Get lots of money to start ! Then a BIG peice of land so your neighbors won't be able to complain about noise.
Tombogan is right, good places to start. Actually, you started with the best place, a great idea. MB wrote a few weeks back about someone in CO who did just what you're thinking of doing. Not a problem, we need all of the ranges we can get.
The only thing I can add is to plan it right, play to your strengths - do what you know best, get good help where you're weaker. If cash is an issue, get the land first, lots of it, and build what you think is needed most. Use various boards like this one (starting
with this one of course) to solicit ideas, things to do, things to stay away from.
If you're looking to play on the local scene first - not a bad idea, check the various gun clubs and shops to see what people think they need most. Either way look to some form of sponsorship. Here in ND, we had the state's Game and Fish sponsor us - with cash - to help build an indoor pistol range in Bismarck. Corporate sponsorship is another goal too - tied into advertising at the ranges of course.
And, above all else, develop a business plan first and then incorporate. You cannot imagine how much those pesky things are worth - help keep you and any partners focused on what it is you were trying to do when it starts hitting the fan.
Good luck!