Starting your own business - Where to start?

I just started my career (relatively, like less than 2 years) and what I believed before my current job is now a stronger belief - having a job has no real worth. Sure you make a few connections here and there and learn how a company works, but that's pretty much it. I hate how a career is dependent on other people's timelines and a company's budget sometimes, and you can get fired at any time for whatever reason. What happens in your career is literally out of your control. It's just not stable, no matter what division you are in. 

For those that started their own business while working - where did you start? I have a few ideas, but don't know where to start in terms of making a plan. Also super annoying how anything I plan I have to ask for permission at my job (employer tells you whether you're allowed to do it - like what?). But yea I was thinking of business school, but I don't even think this is a necessary step at all. 

Would appreciate any advice on where to start.