Govern, when referring to persons, generally means to administer as in a government. More generally it can mean control or limit. Neither sense give the impression that you want. In any case, you aren't governing yourself, you are "governing" your business, and we don't usually speak of governing businesses when we mean to run them.
A little more context would help, but in the light of "I have a right to do whatever I want", do you mean this as a retort?, I think, in this case, I would stick to something like your original statement, perhaps adding "own": "I can run my own business". In a clearer context:
"Thanks for your advice, but I'm able to run my own business."
The expression "govern yourself/selves (accordingly)" is generally used as a synonymous phrase for 'behave yourself (accordingly)". This means: act in a manner that is appropriate for the situation. I don't think it fits what you were looking for. (and behave yourself, when said to adults, would sound pretty demeaning).