Sure can <img src="smileys/smiley1.gif" border="0" align="middle"> Took me a little while to throw together but here's an example cap file: https://dl.dropboxusercontent.com/u/4714446/MultiChar.cap
You could use families to simplify events, but this method works well if each player object will use different behaviors and etc.
Edit: Oh, use keyboard keys 1, 2, and 3 to switch and arrow keys to move around. I set unbounded scrolling just so you can see the scrolling is working properly (in bound scrolling it will stop scrolling near edges of the level)