Note: This applies only to the demo version. First of all, complete the demo, which will unlock the "Free Play" mode.
Then, enter that mode and you'll be able to create 2 characters. Continue playing and you'll see only the two of them in the map. Press the key to switch characters, and depending on the area you're currently in, different characters will appear. You can not only play with most characters from the demo, but also with the Emperor, from Episode VI.