Freelancing is to sell yourself as an independent contractor, which means you are conducting business and doing the work.
Many developers will begin work at an agency or another company before considering freelancing. This will give them an opportunity to learn the process and gain some experience.
You can set your own hours, but you also have to hold yourself accountable. Some developers need a little more structure in their lives and prefer to work 9-5 in an office.
You can work from home, travel to meet clients, or anything else you can get agreement on with the people you work for.
You will not receive health insurance or benefits from an employer, because you are the employer. You will need to charge fees that allow you to cover these and other business costs.
You will need to establish your business and pay taxes. You may need some legal and accounting assistance to do this. You will also need software to track your expenses.
Business expenses are deducted from your income before taxes are calculated. You can buy a decent amount of equipment to get started as a freelancer - a nice desk, laptop, monitor, etc. There are rules for how much you can expense and how to account for it, so make sure to look them up. There are also rules for what you can spend on client meetings and lead development.