PMR doesn't need a licence, but you're also only supposed to use a radio with .5W output and a fixed antenna so technically you shouldn't use those frequencies with a UV5R. For the other frequencies yes, you do need a licence. The business light licence is the easiest to get (mine was £75 for a 5 year validity) as it doesn't require exams be passed. That said, many sites have their own licence that will cover you for use on their site (as long as you stick to their approved frequencies) added to which, as long as you're not using Emergency Services frequencies then the chances of actually getting caught and prosecuted are incredibly slim. Not that I'm encouraging ANYONE to break the law.
In terms of setting up, get a programming cable and download a copy of CHiRP. That has a preset group of frequencies you can download to your radio that lines up with the Business light licenced frequencies.