To set up a holding company in Dubai, first, choose your jurisdiction (Free Zone or Mainland), then select a legal structure and business activity, reserve a company name, and prepare necessary documents like the Memorandum of Association (MoA), passport copies, and business plan. Next, apply for the relevant business license with the Department of Economic Development (DED) or a free zone authority, open a corporate bank account, and finally, register for corporate tax if your company's turnover exceeds the threshold.