About H1B1, thanks a lot.

I got an offer from a financial service company. This position is named "Financial Advisor". But the boss told me that they never sponsored employees to acheive H1 visa. However, if I want to do it by self, the company will provide me all supporting documents. What I want to know is that whether it is possible to apply H1B1 visa by myself? If applicable, how? Should I accept this offer? Thanks!