As far as I can tell, Windows Phone 8 only supports NFC Forum formatted tags, i.e. tags that contain an NDEF message. The OS will read the NDEF message from the tag automatically and dispatch it to your app.
This is all done as part of the Proximity API, which is technology-agnostic and as such hides the NFC communication from the app. The communication with a proximity device may as well take place over Bluetooth or WiFi; the app does not know (cannot even know) and does not have to care about this. So there is no way to set up any connection with an NFC tag like you can do in Android.