Also, building a company is not all or nothing. You could even shoot smaller and likely get to $1M in revenue for a $5M or so company. The odds are much better.
While on average the odds of the latter (the business) may be better, for a given person (which is always me and never an average person) the odds of the former (the lottery) may actually be much higher.
On a side note, while it may seem "un-meritocratic" to the HN crowd, having lotteries as gateways to social mobility and resource allocation is a decent idea.
Also consider that poorer lottery winners are often ill equipped to deal with their winnings and frequently lose the entire sum of money within a few years; they may enjoy spending the money, but it doesn't lift a winners children and community out of a cycle of poverty as I would normally think of "social mobility".
Maybe we should randomly force people to get an MBAs instead.