Unless acting as keeper, each player takes on one or more investigator personas. During the game, the player attempts to speak and act in terms of those personalities. It is often more fun to create investigators entirely different from the real-life player: a tough private eye, perhaps, or a rude taxi driver, or a tuxedo-clad millionaire dilettante.
A player might play two or even three investigators at a time, but how many investigators are allowed in play at any one time is something for the keeper to decide. The usual custom is to play one investigator.
A player has a duty to roleplay an investigator within the limits of the investigator's personality and abilities. That is the point of roleplaying. Try to know as little or as much as the investigator would in life: the skill rolls the keeper requests will be of great help in doing this. Try to develop the investigator's personality well enough that other players can imagine what he or she would do in a specific situation. "Good old Al," they'll say, "we knew he'd do that."
Call of Cthulhu promotes interesting roleplaying, because play frequently hinges on difficult choices: were you right, for instance, in burning down a farmhouse full of cultists, when in the eyes of the law your actions were murderous? Operating within the limits of their investigators presses the imaginations of all players, and is an important part of the game.