Yes you can!
Many people choose self-employment as a way to make extra income. You can be working full-time while "freelancing" on the side. It is indeed possible and legal to combine self-employment with traditional employment or studies.
Being self-employed means you run your own business as a self-employed individual. Self-employment is different in the way that you often get to work for different clients. You have personal liability for your business but enjoy more flexibility and you get to work on your own terms.