If you just want to have a company then just establish one.

There are many scenarios depending on what exactly you'd like to do. I'd strongly advise focusing on a finding a role you'd like instead of just establishing any company for the sake of running business.

A general answer can be: name your strengths which you want to build a business on, find a business which makes good use of them, track which weaknesses you have in this business and then work hard on amplifying your strengths and ruling weaknesses out.

In the meantime think what will be your product or service, who will be your first customer, how you're going get another one and how you're going to get money for a start (either funding or savings).

There's no detailed answer unless you can tell what kind of business you want to run.

Clients are the lifeblood of a company.

To position yourself best to start your own company, move into positions where you have close contact with customers.

You'll learn what their needs are, what gaps there are which you can fill and how to approach people who might need your services.

Start doing some side work/volunteering. It will give you more experience and help establish a track record. It will also start building connections. Then when you feel you work has enough momentum, you can transition to full time on your own.