Is it better to have a 401K through an employer or to set one up on your own?

Is one way better than the other? I know some employers will match your contributions, but I have only heard of that in regards to when they offer it. Would they do that if I set one up on my own through my bank instead?
Update: Okay, well a retirement plan or something. I heard you could set up one on your own. I'm just 19, so I'm not very educated about this stuff yet. I'm just trying to plan ahead.
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