The follow option is mostly used for alts, when someone has two or more characters logged in at the same time and wants to move them from point A to point B its useful to put the alts on follow so you only have to control one toon and the rest will follow.
I believe the function you're looking for might be the "click to move" function. If you go into the interface settings and controls and select "Click to Move". Then you can either double click a target and your toon will run to it and attack it or you can select a target and hit an attack skill and your toon will run to it and attack it.
Oh, now I understand, thank you. I deactivated the click-to-move function because it bothers me when wandering through the cities, as I like to click everywhere to look, but not for walking. It's just a matter of practice, though.
But I still got a doubt about these "alts". How can I log in more than a character? Is this even possible?! (without using those hacking programs, etc)
I'm just trying to understand the usefullness of the auto-follow mode. I'm a beginner, so these doubts are fairly common, right?