Most freelance copywriters have already got extensive experience of working (on an employed basis) within an advertising agency and use the contacts which they've previously made. (See here for details of this type of work:
http://www.learndirect-advice.co.uk/helpwithyourcareer/j obprofiles/profiles/profile239/ )
The only way to get a foothold in the industry without prior experience would be by bombarding agencies with specimens of your work. It's unlikely that simple copywriting skills would grab the attention of an advertising director unless the material submitted was accompanied by appropriate artwork. (So, you'll need to be a real whizz with Photoshop- and preferably with Quark as well - alongside Word).
Remember that the advertising industry is exceptionally competitive and aggressive; even within the employed sector far more people fail than succeed. No company will pay a freelance for work that they can get, with no additional payment, from their employees. Your work will have to better than that of the company's employees before they'll be interested.
Also, expect a fair amount of plagiarism. You might spend hundreds of hours working on ideas only for them to be rejected. Shortly afterwards, the company produces something which bears a strong resemblance to your work but which the company insists was independently created. (I've worked in freelance journalism and know, only too well, that this type of thing is common!).
Sorry to seem so negative but it's a tough world out there!
Chris