Okay, to do it legally, first of all you need a licence from whatever passes for the Radio Authority in your location. In the UK it's the Radio Broadcasting Authority and in the U.S it's the F.C.C - run a search on Google for information local to you.
Once you get a licence, or if you are intent on running it as a pirate station

(I don't want to know the answer!) then you will need an FM Transmitter. A good company for these is
Veronica FM and they export all over the world. They will also be able to advise you on a suitable antenna, cabling and setting up procedure, so drop them an email, since this area is outside the scope of this forum!.
Next you will need a suitable mixer & CD Players - the quality of these depends on your budget. Most Pro Stations used to use Denon equipment but now often prefer a PC Based Music System - OTSDJ may be more than adequate for a small home based station

. Although it is perfectly possible to transmit using a very basic set of DJ Equipment!.
If you intend to set up a professional station then do a search on Google for "Alice Soundtech" or "Canford Audio" they manufacture / distribute a wide range of Broadcast equipment - but be warned they are NOT cheap