It's as JackBurton said, there's a lot of setup involved and nothing is going to automatically and magically happen when you first log in to play. Multiboxing takes work if you want to be competitive at any current level of content (and even lower levels depending on what you're doing), regardless of what any anti-multiboxing haters will try to have you believe on [insert game]'s general forums.
For WoW, you should be starting here:
http://isboxer.com/wiki/WoW:Quick_Start_Guide
I haven't released a multiboxing video under that username for almost two years. The new channel is, and will continue to be, Multiboxology.
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