A few tips:

1) If you have webspace that supports PHP/ASP/JSP/Perl/CF-scripting, use PayPal as your payment processor (http://www.paypal.com). They support all major credit cards and they don't charge an awful lot. Plus they support IPN (Instant Payment Notification) which means when somebody orders something from your website, he or she gets forwarded to PayPal and when the payment is completed a script on your website is executed allowing you to send out e-mails with download links or whatever you want... They won't advertise your stuff, but let's face it - neither do all those shareware sites (at least not properly).

2) If you want to sell your game on CD, try cafepress (http://www.cafepress.com). They don't have any set-up fees and they produce professional quality silk-screened CDs. They cost something around $8 per CD, anything you charge above that is your revenue.

3) If you want to advertise your stuff properly, you will have to pay for it. But good advertisement might make you a lot more money than you invest for advertisement.
I got some of my games on the cover-cds of a couple of German shareware magazines, one even with a screenshot on the front page. I managed to do this by contacting the editor in chief and telling him that he could publish the full version of one of my older games in his magazine if he'd write an article about one of my newer games...

4) Don't waste your time on inventing cool copy protection systems. People are always going to steal your stuff, with or without copy protection. If you absolutely want to have a copy protection system, use something simple like serial numbers.

5) Something a lot of people don't know: If you want to sell anything, even shareware, you will need a business license.