I'm an MBA, and doctoral researcher, who teaches entrepreneurship at the University of Edinburgh. I don't think the MBA is the only way to get the foundations needed for entrepreneurship. There are lots of free online foundation classes (e.g. http://epicenter.stanford.edu/resource/free-online-entrepreneurship-courses) and advanced courses (e.g. http://ocw.mit.edu/courses/entrepreneurship/). There are also some more formal certificate programmes (e.g https://www.coursera.org/specializations/business-entrepreneurship and http://scpd.stanford.edu/public/category/courseCategoryCertificateProfile.do?method=load&certificateId=14800052)

Rather than spend on an MBA, it might be better to invest in am attractive, promising business idea alongside your existing work.

There are also many degrees focussed on entrepreneurship (e.g http://graduate.em-lyon.com/en/Global-Entrepreneurship-Program and http://www.business-school.ed.ac.uk/msc/entrepreneurship-innovation).

Looking at the boards where you have reposted this question, it seems that you are also considering employment in Europe, Australia or Canada as alternatives to entrepreneurship. For post-study work permit rules, I think Google is your friend. You can also search the board quite usefully. Also see Best schools for international students' placement http://www.find-mba.com/board/41143 and, for Europe, Do you need to speak the local language? www.find-mba.com/board/34713