This is a question that's best answered by an attorney.
It's been my experience that you don't need to set up a corporation or regsiter your business in every state where you receive orders.
You do need to concern yourself with taxation as well. You should ask your CPA for advice here.
If you can't afford an attorney or a CPA, you might want to make an appointment to visit your local SCORE office. The people who volunteer for the Service Corps of Retired Executives (SCORE), are retired business people who can offer immense amounts of help for free.
Good luck on your new business,
Lena West is the CEO and Chief Strategist of xynoMedia Technology, a New York-based firm that helps high-growth companies leverage the power of social media, blogs, podcasts and online communities.