Have a couple of players watch Memento and maybe Julien Donkey Boy, then sit down at the gaming table. Hand everyone their character sheets, present them with the story, and let them interact with it.
Drop some hints, be incredibly subtle, so as not to reveal the secret twist ending. Railroad the players as necessary to keep them within the confines of The Secret.
Then, at the end, better than tell them, allow the story to unfold in such a way that they realize that all this time, the people they've talked with haven't talked to *them*, no, the people have spoken to just one person. All the things they did, it wasn't them as a team - physically speaking, no, it was one person.
They're all just voices.