First you will go to a player selection screen:

You can choose however many human players you want, and then choose how many computer players you'll be against.  If you choose 4 Human players, then you can't have any COM players.

You can only choose to have no computer players (see bottom selection of the Right Picture) if you have at least 2 Human Players.  Now confirm the players.

Next, choose which controller each Human character will be controlled by:

After this is confirmed, choose the girl you would like to play as:

Scroll left and right and then press O when you've selected the girl you'll play as.

Each player selects one character, and the computer selects from the remaining ones.
Next you choose the General Statistics of each player:

Press X to change the statistics