How can we setup a business as GC holder??

Can anyone guide me that how can we setup a business as GC holder?? I know GC does not give rights to setup a business but there should be some legal way of doing this.... your suggestions pls ??? Many thanks in advance.

You can register a company and start business with your spouse name if she also reside with you in denmark.

And can I  also become employee of that company ????

Yes you can. All you need is to show your valod hours and pay tax according to the requirements of green card.