Earlier quoted context omitted.
patio11's reply is correct as far as I know, but I'll pitch in a little more. When I was researching setting up my business in Japan, I was told I would need to hire a resident to be a business manager in the case that I wanted to sponsor my visa through the company. So this may be what you are running into. In my case I was getting a spousal visa, and incorporating after immigrating, so I could be the resident if I…
I'm here on a study visa, arrived last year, so I do have a temporary residency status.
Potentially the easier way to go (assuming you are doing some high tech thing and you are getting an equivalent to an "engineering" degree -- CS should be fine) is to get a job and have the company sponsor your visa. At that point you can start your your company no problem and hire yourself. This is one way to avoid having to sponsor your own visa (which will have capitalisation requirements).
I was in a similar situation before I got married. I was teaching English and I wanted to set up an IT consulting company. My visa was as an instructor and there was no way to switch it to an engineering or business person's visa. So I would have had to sponsor my own visa. As it turned out, I got married, moved to the UK for a few years and then set up my company when I returned.
Edit: Even easier approach (though time consuming) is to get a job and stay long enough to get permanent residency. Then you have no issues at all. Minimum time frame is 5 years IIRC. Normally being married helps a lot, but I suspect if you have gone to school in Japan it will help equivalently.