I assume you mean "Dark" characters? You unlock characters at different points throughout the game. To actually purchase them once unlocked, go to Madam Malkin's in Diagon Alley (exit through the Leaky Cauldron; Madam Malkin's is the store directly behind the Weasley's joke shop, and it's easy to miss the entrance). Once you find it, make sure you explore the upstairs change room too!
Once you've purchased the characters, you can select them in Free Play mode for any particular episode.
