When needing to set up a belay in just snow you can either plant your ice axe into the snow and tie the rope to the ice axe. If this is not feasable then you might have to make a snow bollard. It is a tear shaped trench dug in the snow with the broad end of the tear drop facing away from the direction of force on the rope. You lassoo the snow bollard with the rope and hope that the bollard is deep and wide enough that the snow will take the weight being placed on it.