If you come here on the Tier 4 student visa (as what most people do), you'd face the following restriction:

A student from outside of the EEA must not: • engage in business; or • engage in self-employment; or • provide services as a professional sportsperson or entertainer; or • pursue a career by filling a permanent full-time vacancy.

You can see that from page 71 here: http://www.ukba.homeoffice.gov.uk/sitecontent/documents/empl...

There used to be a Post Study Visa that gave you the freedom for two years post-study to goof off/work/incorporate/whatnot but unfortunately that had been cancelled last year (just the moment when I enrolled .. sigh). However, there's an entrepreneur visa that an aspiring startup might try to aim for. However, my question specifically pertains to the cases where it would be good to incorporate (say, after the business proves to be feasible).