How to get started at work in the Market Research Industry?

If I understood your question correctly, I think you mean how to start up a market research company, 

will my best advise is to conduct a market research with all client side researchers on that market to understand your competitors strength and weakness points, take them as a start and for positioning your agency in specific fields rather than being doing everything. 

Is it quantitative or qualitative ??? If quantitative-----> Knowledge of quantitative methods and statistics is the first step.
Next, research which quantitative methods/research methods are used by the company and refer the basic theories relating to those methods.
The same ought to be compliemented by specialist statistical software packages ranging from SPSS, Minitab, SAS which are widely used in market research industry.
I wonder my answer was in line with your requirement and hope it helps.

My Market Research Professor always used to say that the first step in Market Research is to always identify the RESEARCH PROBLEM.
To prepare for an entry level position in MR, try to go through various case studies and try formulating the research problem on your own.
Its based on the problem that you decide to take a Quantitative or Qualitative approach, As already mentioned by Mr.
Tejas Pandit, for quantitative analysis, try to familiarize yourself with microsoft excel(advanced), SPSS, SAS etc.
Try playing around with the software a bit.
Its quite interesting.
You will be really surprised at the kind of results, data analysis provides.
Also, try to learn the art of making questionnaires and conducting surveys.
try analysis these survey results on your own.
Qualitative analysis, on the other hand, requires a lot more deeper understanding of the subject.
It involves taking interviews, conducting Group discussions, etc.
It involves asking the right kind of questions without being biased and steering the discussions/interviews in the right direction.
It comes with practice.
Start reading the right kind of literature.
There are a lot of good books out there on consumer behavior and market research that will help you get a better grip of the subject.
I hope I was able to help you.
All the best.