If you are not U.S born, it's
QUITE difficult to simply
walk in and start a company
in the U.S. And you'd spend
a lot of time just solving
those problems, and have a lot
less time to setup your company.
Not only that, you might have a hard time even getting to the US in the first place, as one of the requirements for even getting a visa is to show that you have "sufficient ties" to you current country of residence (e.g. a job).
If they suspect you might try to immigrate you won't even get into the country.
If you are trying to immigrate to the US on a non-immigrant visa then hell yes they will put you through the wringer.
Do the proper paperwork and apply through the greencard lottery. There are plenty of empty spots for French and German greencard seekers. Since we share the same language the UK slots are perpetually full. Australians get a special immigration visa (R-1?) just for being awesome.
It depends. They have quotas for different countries. Think of how many people are applying from your country. Then think of how many people are applying from Mexico, China, India, Guatemala. That is just the means so you have a much higher probability than if you are from a West European country than you do from a developing country.
If they suspect you might try to immigrate you won't even get into the country.