You can get your own company private investigation license which requires you to prove things like training, background and how much experience you might have in the field. What you need depends on the state you are in and the laws that they govern.
There are also schools that train you how to become a private investigator. Many of these schools offer excellent training and will make it much easier to get a license later. Having the training will also make you better qualified to work for other companies.
I always thought it would be cool to be an investigator, but there is a lot of competition out there and its not so safe anymore.