For many years Microsoft required employees with side projects to submit and get approved moonlighting request. The problem was that it was not easy to get approved for start-up-like projects: neither management nor legal didn't want to take responsibility and were pushing requests back and forth for months.
Finally, in the beginning of 2006, some brilliant legal head solved the issue once and for all: they removed approving process entirely and released set of guidelines you have to use _yourserf_ to determine if there is conflict of interest. So in one simple move they not only reduced amount of work legal department has to do, but also reduced possibility that employees would choose to create start up by pushing everyone in gray area and keeping door open for later litigation threat.
BTW, if you have day job you want to incorporate early so you can do proper assignment of invention related to your start up (in addition to incorporating for liability reasons).