If you are a foreigner, you will still need a work permit to run your own company, only it is called an Entrepass... ie, you cannot just start a business without permission to stay and work in Singapore.
The starting place is to apply for your Entrepass at MoM (
http://www.mom.gov.sg/ProceduresAndGuid ... urs%29.htm).
You will need a business plan not to exceed 10 pages and while you may be able to do it as a sole proprietorship, I personally believe you will have a greater chance of success with a private limited firm. Besides, a ptd ltd offers you significant legal protection... all your personal assets are at risk in the case of a lawsuit or other problems in a sole proprietorship.
Once you have gotten your Entrepass, the next step is to form your company at
http://www.acra.gov.sg.