A research project, in its most basic form, is a process that you go through in order to ask a question. You will start out with a question, or an idea, and work from the bottom/base upward, until you have answered your question sufficiently.

I've done a few research projects at my university, and I typically follow these steps:

1) come up with the question
2) really, really think about the question
3) find out the possible routes that the question could take
4) read a ton about those routes
5) find out what others have written, find books, websites, and people who would understand the topic
6) gather all of the information, and organize it very clearly
7) look over the gathered information, and write a layout of the paper you wish to write
8) write the paper, paying close attention to the expected audience that will read it
9) find someone (if you haven't already) to publish the paper.

You don't need to be in a corporation, or a school, or anything... you can do it all yourself. It'll take a lot more legwork without funding (for example, instead of being paid the money to take someone out to eat in order to interview them, you may have to come up with your own money, or you may need to find another way to find information out from that person), but it's certainly possible.

I hope this helps, and good luck on your projects.