As many of the messers in SS/FG will surely point out, in any city that has a need for CMs, there's usually already enough of them. In some cities it's a challenge to get enough drops in a day to make decent $$ because there are "too many" (according to some messers) CMs, especially during the summer months when the 'fairweathers' come out to play.

Look into the CM situation in your city and see if there is an actual need for more messers. Good indicators of necessity are:
1) A current lack of CMs
2) A high presence of van/car intra-city couriers
3) Businesses with a need for rapid (original) document turn-around; like legal and medical documentation which cannot be made "official" in faxed or emailed form.

I was a fairweather for two summers in Cleveland, OH and started to see the decline of the CM with the rise of fax and email. Big cities are seeing much of the same with the advent of .pdf and highspeed internet, etc. Scanned documents and e-signatures are taking the place of paper documents and a messer waiting for a signature to run things back across town.
Overall, I'd say
A) Check into the current CM situation and determine if you'll be competing for business.
B) Survey local businesses and find out if they would use a CM service regularly.
C) Find out the availability of local cyclists, and determine the feasability of opening a CM business.
D) Check local business laws: Do you need to register your business with the city? Will a courier business need to be licenced/bonded for specific document transport? What are the costs incurred for start-up? (Consider all the start-up materials, such as: Radios, Radio dispatch base unit, FCC radio licensure, business licensure, incorporation [LLC or S-Corp] as a means of personal liability protection <that way there's no personal suits against you if things go wrong>, BWC costs, etc...)

Don't mean to sound like I'm trying to rain on your parade or anything, but I've watched my venture capitalist friends get burned on deals that weren't properly researched, and I've learned the ropes on how to properly research a start-up company and its viability to market.