I think it all depends on what you actually want to do with this 'club'.
If you're just a group of friends who dive together and maybe want to purchase equipment, it's pretty straightforward (in Australia, anyway).
You basically just need to register as a social club and start a bank account in the social club's name. Each member can then deposit funds (pay membership, donations etc.. ) into this account to pay for whatever the club requires.
This is the way many syndicates own boats etc.. This basically just avoids paying business tax (30%) while having multiple owners of the equipment, but there's nothing to stop you owning anything in this way.
If you have bigger plans in mind (ie becoming a club that anyone can join), I think it gets more complicated, but I don't know the details. Possibly have to elect official roles, insurance, financial reports etc...
Also may have to register with a diving institute (PADI or equivilent). Don't know anything about the diving side of social clubs.