There is a project that a company wants us to build, so we now have the opportunity to start our company with a customer that will pay for our modules/app.
How do you evaluate the risk? There are a lot of changes in graphic design, definitions and so on, they want things from one day to the other and things like that, so it is a little problematic.
It sounds like you are experiencing risks because you have not set out good terms for a project.
Make sure the following are covered and it shouldn't be so risky:
It is generally better to have no project, than a project with bad terms. Sometimes you are desperate though and don't have that luxury, so you take what you can get and hope for the best.
To which risk are you referring?
Are you worried that the customer won't pay or decide to abandon you, or are you worried that the customer will demand a lot more then you expect?
Assuming that the customer is is solvent, and won't go bankrupt any time soon, then most other risks you can minimize with a good contract that states exactly the scope of the work you are expected to deliver, with any additional changes being billed at a per-determined rate.
If you foresee problems with this customer, you need to decide if that is the customer of your choice, or you would rather look for a different one for your company.
If you are happy with the agreement, and believe that this is what you want to do (more then any other project at this time) then I say for for it.