Foreign Entrepreneurs Finding the American Dream

Due to his hard work, he's found success again. He started online multimedia creation company KMGI in 1997 and boasts prominent clients including Volvo (VOLV Quote), Pfizer (PFE Quote) and Verizon (VZ Quote).

Konanykhin advises any entrepreneur -- immigrant or not -- to always be aware of new approaches.

KMGI, for instance, began with 35 employees working in one location, but it eventually transitioned into a virtual office. The company's employees save time by not commuting, and they benefit from working with the very best people in the industry, because Konanykhin can look globally, not locally, to hire. This also ends up benefiting the client in terms of getting the best expertise.

Another Russian immigrant, Leo Grzhonko, 31, is president of online video advertising agency Adotube.com, which he founded in January.

In Grzhonko's experience, the U.S. offers entrepreneurs countless advantages, notably in the process of starting up, registering and licensing a new business -- which can be prohibitively costly and time-consuming overseas, especially in Western Europe. Here in the U.S., however, it is relatively cheap to do, and your risks in opening a new company are very low, Grzhonko says.

And when you look at running a business in third-world countries, they are not only bureaucratic and expensive but also often unregulated or corrupt, Grzhonko adds.