Make your game start on a blanc map
Make sure that in the database on the system tab you have no actors at the initial actors window
You can have a autorun event that draws images or just a textbox with choices.
Make it so you must chose one character and when this is done use a Initialize character command with the character from the database you want.
After this the event just teleports you to the starting map where the person you chose will stand and start with the game