A sole proprietorship exists as soon as you say it does in many jurisdictions. That's the most common kind of business entity in the US. In my case I had to file for a DBA, which was a three field form plus a trifling amount of money to my local newspaper's classified section.

You can run a software business for many years before you need to formalize things, depending on what you're doing. I think I put off incorporation and insurance for about 7 years.