Freelancing,Contracting

Hello there all of you,
I have some question with regards to doing freelance and contracting jobs, when one is not a an US citizen or a Green Card holder.

I am doing software development, and also web development, and I am not sure if this is best done through a registered company, or if I should do it as one person contractor. And also what are the rules and regulations for this around the world?

I have working permits for Europe and South Africa, but would also like to be able to bid for contracts other places too, like USA (where I got my education) Australia (where I also studied) and Asia.

If anyone could help me, or are in a similar situation, I would be eager to chat with you.

Cheers