Open a checking acct for your business at your local bank. Most banks will have the service to pay taxes and SSN for free for a few months then it's a small fee.
You will have to calculate your taxes yourself and pay estimated tax payments on a quarterly basis. You pay self-employment tax instead of social security tax (in addition to regular federal and state income taxes). Self-employment tax covers both employer and employee portion, so it is double what you would pay as an employee.
taken out of what?
as a sole proprietor you are responsible for your own SS and Medicare, called self employment tax, approx. 15.3% of your 'net'
you probably will file estimated, April 15, June 15, Sept. 15, and Jan. 15,of 2011
you might get Publication 34 from www.irs.gov and also have a look at Sch C and Sch SE on that site