My friend told me it is possible to start a multiplayer game and play all the characters yourself, is it true and how do you do it(i.e. which connection)?

It's quite possible, in fact I believe the use of the Multiplayer option to create more than 1 party member is vastly more popular than Multiplayer's original purpose (playing with other gamers via the Internet).

How-To: Start a Multiplayer game (I think you use the Serial connection) and create as many party members as you want, from 1 to 6. Start playing, and Save your game. Now Alt-Tab out to Windows, and move the Save file from the "mpsaved" directory into the "saved" directory. Go back to the game, quit Multiplayer, and start a Single player. Load the file you just saved, and all of the party members you created will be in your party. Now go lay waste to the Sword Coast.

Note: The 'fake' NPCs will never leave your party due to alignment, and, when kicked out, will always stay right where you left them. They are, however, not as fun as the real NPCs, who actually have personalities. Powergamer vs. Roleplayer--your choice.

Thanks, i'll give it a try