I live in a third world country, What's the first step I should take to move out and start a business in the States?

First of all, this is not me asking for legal advice. I'm aware that the law has its own experts and individual cases. This is just an inquiry on something I don't know if it's possible or not. I've been passionate about primitive marketing essentials since I was a little child. This passion has transformed in university to what's called entrepreneurship. I always get excited about new ideas. I can feel the blood rushing into my brain whenever I think about taking risks or choosing a road filled with uncertain endeavors. Every time I think about starting up something, (Let's not even call it a startup; let's call it an experiment) I get struck with harsh realities, including that I'm living in a place where there's no potential really for emerging businesses. You can name lots of factors to start with, but a small fact like that sometimes during the whole day we suffer from severe electricity cutoffs should be enough. Now, I don't know what to do. I've been trying to make this whole thing work (transferring my passion into a reality through working hard) and I've failed more than once. The circumstances are simply against me. Now a decision may seem appropriate for my case, which is getting out and establishing a business in Silicon Valley, but we all know it's hard to get there, considering that there's no immigration law for Entrepreneurs (even ones backed by an investment) My question here is: Any suggestions? Is there any hint I'm not aware of that can make the transition to SV easier/doable? What's the first step I should take?