Also how do I copywrite my script?
To copyright your script go to the Library Of Congress website. You fill out the form, post your script to them and they send back a registration number. This is by far the safest way to cover your script internationally for copyright.
As for your other questions, well there are no hard and fast answers.
if I want to film lets say in the subway do I have to get permission from the mayor?
Ring up the mayor's office and ask if you need a license for filming in public. The thing you need to emphasise when you talk to them is the size of your production, because when you say "film" they envisage thirty trucks full of gear, closed roads and movie stars, when what you're talking about you and four mates with a camcorder.
I want to ask for an indie band to license there music how do I go about getting there permission? All and all how much is this going to cost me!?
You look on the back of their album and get the name of the recording company, you google them to get contact details and then you write to them explaining what it is you are trying to do, what you want from them. Chances are that they'll get back to you with a price you can't afford (I was once asked $25,000 for usage of 15 seconds of one track for UK use only).
The best way to get free music for your film is to put a notice up in the local music stores that says "Do want your music to be in a film? - Local filmmaker is looking for indie bands with original recorded music - post your demos to PO Box (&*%)"
You will still need to arrange releases from the bands, but there are always bands who are looking for exposure.