It sounds like you want to have a Roth IRA and invest in stocks or Vanguard funds. All you need to do is open up a Roth IRA with Vanguard. You can probably do that online.
Here After doing that, when you login to Vanguard's web page, you'll see 2 entries, your SEP-IRA and your Roth IRA. As mentioned, when you deposit money into your Roth IRA, it will go into a settlement fund that is typically a money market that pays very little interest. You then use that money to invest in whatever you want to invest in be that stocks, mutual funds, etfs, etc. I think that's what you mean by the brokerage account. With some Fidelity retirement accounts you can either invest in the funds your retirement plan selects for you or you can have a self directed account where you are free to choose your investments from anything you can buy through Fidelity.
When most people talk about a brokerage account, they are typically referring to an investment account that has no tax advantages like you get with an IRA. If after opening the Roth IRA you also opened up a brokerage account with Vanguard and logged in, you'd then see 3 accounts. At the end of the year, you'd get a 1099 showing gains/losses for the brokerage account that you'd have to pay taxes on. You wouldn't get that for the SEP-IRA because it's tax-deferred or with the Roth IRA because it's tax free. Technically there are no Roth brokerage accounts. Roth accounts are a special type of retirement account (401k, 403b, possibly 457b, IRA) where contributions are made with after tax dollars and the growth is tax free
For example, my son inherited a small IRA from my father. It's with Vanguard. His RMDs go into a brokerage account. When we log on, we see the inherited IRA account and its holdings and the brokerage account (technically an UTMA because he's a minor) and its holdings.
If you are one of those people who makes too much to contribute to a Roth IRA directly and has to do a backdoor Roth, your SEP-IRA will cause you problems because you have to do pro-rata conversions.
In my mind, one of the biggest reasons to do a Roth IRA is to avoid required minimum distributions. I get paid pretty well and most of my colleagues say I'm stupid to do a Roth 401k because I'll be in a lower bracket when I retire. That's not necessarily going to be the case. If my models are correct, my RMDs on my traditional 401k will be about 80% of my salary last year. That's enough to keep me in a pretty high tax bracket. But since I roll that Roth 401k into a Roth IRA, I no longer have to take RMDs on it. That gives me more time to let that grow.