You're talking about the sort of chat window where you're all typing and the lines are interspersed based on when people press Enter or Return, I presume, because while that's eminently doable in Facebook, their video chat capability only works for one-on-one interactions. To have more people involved in a video chat, you'll probably need to pop over to Google Plus, where the Hangouts support up to ten people simultaneously on video.

The key thing to realize with Facebook instant messenger chats is that to add more than one other person to the chat, you need to already have a chat window open with one of the people on your list. Let me say that a slightly different way: To add your Dad, you'll need to already be chatting with your Brother.

What's confusing about this is that even though it seems like you're adding the third person to your chat, it actually opens up a new chat window for the three of you, so "add" is a bit of a misnomer. Still, let's work within the user experience that Facebook offers...

To demonstrate, I'll show you how I added my friend Jolene to a chat my sister Judi and I were having on Facebook a few days ago. First off, here's our chat window:

Yes, I've blurred out the text, it's not your contacts needing to be cleaned. :-)

The key thing to notice here is the set of icons on the top right of the chat window. The "camera" icon lets you switch to a video chat - if both parties have video gear set up - which is slick. The "x" closes the window. The middle one, the gear icon, that's what we want. Click on it.

There are lots of cool options here. Notice "Go Offline to Judi". That's useful if you tired of a chat with someone and want them to see you as having logged out of Facebook even though you don't actually do that. Sneaky, but sometimes useful. I'd never do that to my sister, though! :-)

The option we want, however, is "Add Friends to Chat...". Select it and a small text input window shows up at the top of the chat, and you can type in someone's name just as you would anywhere else in Facebook. Here I've just entered the first few letters to match Jolene's account:

That's who I want, so I press Tab to select it, then Done to actually create the new multi-user chat space. Oddly, it sometimes starts out minimized, but that's okay, because now you can move your cursor over the minimized window and get a confirmation of who is in the chat:

Click on the bar and the window opens up, to the conversational glory of everyone chatting at once:

I find these multi-person chats very useful, actually, especially if you're working or coordinating with a team of more than just a few people.

Now you know. The key thing is to open up a chat with one of the people you want on the multi-user chat, then add everyone else, one by one.

The other way to solve this, btw, is to create a Facebook Group for the three of you, in which case a chat window is available any time you're looking at that group. Not so useful for three, but for four, five, or more, it can be very helpful and great fun!