Licenses?

Usually you just turn up with your gear and play.
What you have to have of course:
– Your software running on your laptop needs to be legally purchased and have up to date licenses
– All your music has to be legally purchased

The owner/manager of the venue/event has to pay the licensing fees for your to play music. However I always include in my contract a section that this is so and that I am not responsible if he did not take care of this.
(This is true for 99% of the countries I know, with some exceptions for Italy and possibly Greece)

That depends on where you live, as some countries need you to register your business in order to pay income taxes. But apart from that, no you do not need anything.