A business degree, such as a Masters in Business Administration (MBA), typically requires study in several fields and normally a concentration in a field as well. Fields of business study could include finance, accounting, marketing, international business, or in some cases, entrepreneurship.
You could get an MBA with a concentration in marketing or accounting, and become an excellent marketer or accountant, but have very little background in, and be poorly prepared for, entrepreneurship.
If you study finance, you'll typically be prepared for jobs such as stock analyst, investment banker, commercial banker, accountant/CPA, and other jobs like that which involve detailed analysis of financial records, either to run the finances for a business (accountant) or evaluate how a business runs their finances (stock analyst).
To be an entrepreneur, you need to know how to run different all aspects of a business, from creating a product, to marketing it, to financing it. Or, you need to know how to hire people who can do those areas for you. Entrepreneurship requires the ability to network, recruit, innovate, and many other skills that are generally not needed to be successful in finance.
Depending on where you study, you'll want to see what choices you need to make and what options are available to you. Can you get a business degree with a concentration in both finance and entrepreneurship from your school? Or do you need to find another school with those programs, or choose just one concentration? Do you want to be able to get a job easily (a finance degree helps) or try to make your own job by starting your own company (an entrepreneurship degree will help but will be much harder than finding a finance job)?