If you are going to work in the Netherlands or  study or do research at the PhD level (after the master's degree) you may need to apply for an entry visa (MVV) before arrival and/or a residence permit after arrival. In certain cases you may also need a work permit. 

Whether or not you need one or more of these documents depends on 

• your purpose of stay;
• the intended duration of your stay;
• your nationality

In addition you will need to have adequate health insurance

Should you apply yourself, or through the University?
If you need an entry visa (MVV), and your stay will exceed 90 days, then the university can apply for your visa using a short procedure. 

If a work permit is also required then the university will apply for the permit as well. The work permit is issued to the university. You cannot apply yourself.