To self- publish you produce your master and have it duplicated by one of the services that do that. You do the advertising and promotion.

if you form your own company - you probably do the same thing.

The difference is that if you incorperate as a company - the company is a seperate legal entity - while if you don't and are just (for Example) Barbara Shaw DBA (doing business as) Molting Eagle Records - it can have definate tax benefits (like not getting taxed twice on the same income)