You do not have to setup a company in the USA but it may be a good choice.
As a foriegn company it would be tough for your clients to trust you, it would be hard to get a merchant account to process credit cards, and if your site is hosted offshore it would be slower than one hosted in the USA.
I would recommend setting up a corporation in the USA.
This corporation can be owned by a company you own in INDIA, it would have to apply for IBC tax status with the IRS. (international business company).
As for states:
Deleware is the #1 choice for corporations because it has a seperate court system to handle corporate disputes.
Nevada is a good choice because it is privacy friendly, and also a good choice because the state has no sales tax. This is very important versus being in california where you would have to charge a 8% sales tax to all CA residents on your orders.
Nevada aslo has another advantage, it has low cost living resulting in lower costs of your employees salaries if you were ever to setup in the USA.
As far as logistics work, i would try to be near kansas. The closer to the middle of the USA the better your logistics would be. You can also outsource your logistics and warehousing to UPS.
After setting up your corporation (you will likely need to hire an attorney to do this and be your agent for service), then you will have to get an EIN with the IRS, apply for IBC status. Once you have an EIN you can setup a USA bank account. At that point you are just like any other USA corporation and ready to do business.
Look for a web host or colo in the USA. Build your site. Get a toll free number or USA number, even if you plan on forwarding it to INdia.
--- Another choice Manjus is to find a USA entrepenuer to partner with. You may find that it will be more adventagous for you not to be in the retail business in the USA but rather have strong retail partners here.