I am doing my thesis, related "entrepreneurship", and Finnish business laws. Could you please tell me which libraries in Helsinki region I should visit ?

I would suggest for you to visit the following three libraries:

Helsinki School of Economics Library - Helecon Information Center:
http://helecon.lib.hse.fi/EN/

The Library of Parliament:
http://lib.eduskunta.fi/Resource.phx/library/index.htx

Haaga-Helia University of Applied Sciences:
http://www.haaga-helia.fi/en

These libraries are open to everybody and you will get their library cards by presenting your ID.