How do you start it? Why do you start it? Mark Taw has posted a great article on why most businesses fail.
He's got some great tips for getting started at the end of the article. What really hit home for me is how he discusses the full-time job and how it can cut a lot of overhead for the initial stages of your launch. To paraphrase, don't take unnecessary risk and do not think that quitting your day job is going to solve all of your business problems. Great points, Mark.