You actually do not have two gerunds in a row in that case. "I am considering" is actually a present progressive tense of the verb "to consider." "Setting up a cyber cafe" is the direct object of that sentence, started off with the gerund form of "to set."
The present progressive is visible if you look at how the sentence would appear in other tenses, in particular the past tense:
"I considered setting up a cyber cafe."
I don't entirely understand why English requires the direct object clause to start with a gerund, but I think it might become more clear when the direct object is a one-word verb, rather than a full clause
"I am considering sitting."
"I considered sitting."
In these cases, it is clear that a gerund is needed so that "to sit" can function as a noun. This also shows why English speakers will not use an infinitive -- because it is not a noun so cannot function as a direct object:
"XX I am considering to sit. XX (improper)"
I think that all -ing words except "am enjoying" in Ben's "I’m enjoying imagining finishing writing this answer" are gerunds, each one acting as the direct object of the previous one. However, it may be as simple as "it sounds better to our ears, so we say it that way."