Building a Megacorp should entail a whole lot of planning and, yes, should also come with a healthy (or unhealthy) dose of competition. Realistically, however, the established Megacorps shouldn't view this "new player" as a threat until they do become a threat.
The most, I would think, your player can feasibly hope to establish is a Corporation. Planning just that, actually getting through the logistics and legal matters (Corporations need to register themselves as a juristic person, and that requires some funds, even if trivial -- it should be very difficult to get incorporated if the player's character is SINless or has a criminal SIN) should prove to be quite strenuous.
From there, the player will likely have to micro-manage the logistics of his intended corporation, hiring staff, planning research and development, finding and acquiring offices, and just about anything else you can think of as relating to real-world difficulties in regards to the procedures involved.
If they get through all that, and continue to manage the daily affairs of their budding Corp, then let him plan his marketing strategies, and -- depending on what kind of products/services the Corp offers -- set up the market prices for the company's stocks (he will inevitably need to attract investors, unless he manages to cover all expenses himself (very unlikely, even with several million nuyen)).
Should the player manage to maneuver through all the bureaucratic, economic and political nightmare, then he will need to contend with the structural difficulties of the Corp's workings -- shareholders, depending on what percentage of the Corp their investments represent, will no doubt want to regularly meet so to make decisions regarding the direction of the company, something that should involve at least some competition, intrigue and strife (games in the boardroom can prove to be just as deadly as (if not more than) Shadowrunning). Regardless, it can certainly be interesting.
As for Megacorp status, well, that's not exactly something he gets to decide on his own. It's, so far as my understanding goes, dependent on how successful the business is and how the Corporation expands its areas of influence through just how much resources and capital the company actively controls. Should his company eventually reach such lofty heights, then, yes, I'm certain the other Megacorps will no doubt put hurdles in the way of its progress (there will also quite feasibly be several Shadowrunners hired to make a few Runs against his interests).
Be that as it may, let your player go through with it and, should he succeed and manage it all with brio, then you will have been privy to a truly epic player who will have demonstrated a talent rarely seen in your run-of-the-mill Shadowrun campaign and, as such, should be regarded with admiration and awe (especially if he successfully manages to balance his corporate life with his exploits as a Shadowrunner).
Cheers.
