The simple answer to that question is that in the UK you do not need to set up a limited company when you start your business.
Limited Liability
Having said that, many people do set up a limited company so that their personal assets are separate from the assets of the company. If your company fails, then the creditors would not usually get access to your personal assets. Losing a business and all of the assets in it would be bad enough but to lose personal assets such as your house as well would be worse.
Exceptions
Now there are some cases where your personal assets would not be protected by setting up a limited company. The most common is where you have given a personal guarantee or security. Tread carefully if anyone (especially anyone lending money to your company) asks you to sign anything in your personal capacity rather than in your capacity as a Director of your company. The best idea is to seek legal advice before signing.
Another important area on which you need advice is the responsibilities of company directors. Not the most riveting topic in the World but it is critical that you take your responsibilities seriously. For more information on companies and directors responsibilities go to the Institute of Directors website and look at their fact sheets.
Of course, there are other options to starting a limited company. A summary of the pros and cons is set out below. This is just a summary, so if you are unsure about what is best for you, then it is sensible to seek advice from an accountant. You should also make sure that you understand your tax liabilities.