a mule is just like any other character you create on a non-single player game, except their sole purpose is for holding excess inventory.
just make sure the mule you create is on the same realm as the character you want to support. for example, if your main playing character is on useast softcore non-ladder, just make some more characters on useast softcore non-ladder so you would be able to join each other's games and transfer items to the "mule" character's stash.
obviously, this discussion leads to the question of "muling" or "transferring" items between playing and storage characters. make a normal difficulty game (mule is limited to normal, of course) and stay in it for at least 5 minutes. use the "/time" function (dialog box, when you hit "enter") to see bnet time and wait for at least 6 minutes to elapse. after that point, the game will stay open for at least 5 minutes, even if you leave, rejoin, or bring another character into it. now you can drop and pick up items by the rogue camp stash to transfer items between playing characters and mules.
make sure you put a password on the game or anyone else can just enter your game and pick up your items.