It's hard dude, I started out in late 2005 doing it, and later co-founded a company with a couple of mates. It's not really gone the way I wanted it to so I'm looking to go back into full-time employment, there's a lot to be said for the security that working for an employer brings.
Don't let my experience put you off though as there's lots of factors that have broken down my confidence, all businesses, large and small start out from individuals like you and I.
Most work comes from referrals, and they come from doing a good job, like others have suggested try doing a few sites on the cheap to build your client base, you can get these by asking friends and family's to ask their business friends and family (try not to work directly with friends and family as that's a minefield.) Once you get your foot on the ladder work tends to build up steadily. A downside of doing things on the cheap is that your initial clients always expect you to be cheap as your business grows, be strong and build your rate up to one you can rely on to pay your bills.
Work out what your unique selling points (USP) are and play on them, never forget them. It's a cut-throat world, but if you're good at what you do, you can survive in it.
Check out
Advice, Jobs and Resources for Freelancing Web Designers, Illustrators, Photographers, Writers, Programmers… - they've got a cool community on there, and some useful links.
It's a slogging match at the start dude, if you're serious, be prepared to be working 20+ hours a day, 7 days a week, for a good deal of months. If you can hack that, you'll have no problems when the dust starts to settle.