There are countries that will host a gambling site even if they do not have a license provided that you have an office over the server are on that region, I am not very familiar about setting up a gambling site but it only pays to get a lawyer, a lawyer can give you a sound advice and it will take care and explain all the problems that will come and how you can deal with it.
Yes, a legal advice is needed in this case, every country has their own law regarding gambling, even local lottery has their own rules and regulations needed to obey, if you want to have a gambling website online, better to prepare your files first, hire a programmer that will maintains the security of the website to avoid any problems , and to prevent hackers , in that way you can run online gambling without any issues.
Established an online gambling platform has never been an easy task. For sure, you could purchase the gambling website script from various sources for few bucks and develop it into your own platform but it would not complete your work. You need to have proper security, fair games, decent number of gamblers on the platform and much more.
If you have any plans to launch the gambling platform than your mainstream income would be from the gamblers and imagine if there is no one ready to gamble on your platform than what would be the use of creating this gambling platform? So prior thing to do would be to attract few gamblers and convince them to use your platform by placing few attractive offers for them. Huge capital would be needed to make this into a profitable running gambling platform.