Any brokerage agency can help you set that up.
While any brokerage can set up a self directed IRA, it depends on what you intend to invest the IRA in. Specifically, if you wanted to invest in real estate, mortgages, tax liens or practically anything but life insurance and collectibles. Then you will need to find a custodian that allows those investments.
There are several custodians that permit such investments and its really quite easy to set up. I have used Entrust and Guidant on several occasions.
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