You can establish illegal businesses in the darker colored federal states only. There are four types of illegal businesses in total: Cigarettes (duty unpaid), counterfeit electronics, car parts and weapons. You can select a good in each of the four available federal states, but only if you have conquered them first. To conquer them, follow the map and liberate all the states before first.
Via the trade button in the top right-hand corner, you are able to manage your illegal businesses, for example: expand buildings, start or unload transports and sell goods.