My business partner went through the same thing last year. The stated regulations are tough - you can't just start a company and sponsor yourself. The company needs to be already established and capitalized and has to demonstrate that no native people can do the job you want to do. Also, the "soft" regulations are getting tougher. They are not granting as many visas as they used to, and are denying applications without denying them by asking for more and more paperwork until people give up. It's not a fun time to be an immigrant.

That said, if you are coming from Myanmar there might be some refugee visa or other special exception available to you.