It depends on whether you formed a sole proprietorship or another type of business such as a partnership or S-Corp.
If you just formed a business on your own without any partners and did not file for a Federal ID number for the business, then you can leave it off of your tax return. If you formed a partnership or other type of business which required a Federal ID number, then you will need to file a return under that Federal ID number.
If you had expenses for trying to get started with the business and you are continuing to try to get it started, then you should include those expenses as part of your tax return.