1) You will need to set up the company first because the bank will ask you for registration details then
2) Yes
3) Sole trader or company? Your questions point in the direction of the latter, not the former. Maybe you should be looking at talking to an accountant now who can best advise on what status is more efficient for you if you are not sure what the differences are. You won't need an accountant immediately but maybe finding the right one now will help you plan properly. You will have to do VAT and PAYE returns on a quarterly basis and then file your annual accounts.
Don't forget to get proper insurance.
Chances are your client will dictate a number of the choices you have to make in particular limited company and insurance level!
There are plenty of resources online, just google "Starting your own business" and Brian O'Kane's book and website ("Starting your own business") were good resources when I looked into it.
Best of luck