I went a friend's murder mystery evening once. I believe the host buys the script with instructions. You are informed of your character beforehand and go in costume. I was a rich duchess set in the 60's and I wore a hat and a fox fur (It was great fun) You are given lines to read - just like rehearsing for a play. At the end all the characters vote who they think was the murderer. I was totally wrong but I loved it. Then we all ate and drank - great night.
Of course, there are the murder mystery evenings at larger venues like a club, where there are actors and you guess at the end, perhaps this is what you mean.