Unless you have signed a non-compete agreement, you are entitled legally to start a business in the same industry as your current employer. However, you may have signed another agreement assigning all intellectual property you develop related to your current employer’s business to your current employer—make sure to read all of your agreements with your employer carefully before starting on your new venture.
Beyond mere legality, consider ethical issues such as (i) poaching existing customers from your employer, and (ii) working on establishing your own business while being paid as an employee during business hours. In addition, it is unethical (and often illegal) to steal secrets such as formulas, business processes, and databases.