new pName[MAX_PLAYERS][MAX_PLAYER_NAME];
//[MAX_PLAYERS] - the maximum amount of "data"
//[MAX_PLAYER_NAME] - the max length of the string (or player name, in this case)

public OnPlayerConnect(playerid)
{
     GetPlayerName(playerid, pName[playerid], MAX_PLAYER_NAME); //This stores the players name in the multi-dimensional array.
     //You an also store data in it using format, like so;
     format(pName, MAX_PLAYER_NAME, "This is the text that will go in pName");
     return 1;
}

CMD:test(playerid, params[])
{
    SendClientMessage(playerid, COLOR, params);
    // and now i need to store 'params' in multidimensional array so I can use it again
    // Sure that doesn't have to be this way, but this is just a simple example
    return 1;
}

CMD:text(playerid, params[])
{
     SendClientMessage(playerid, COLOR, params);
     //format(ArrayName[playerid], ArraySize, params);
     //Or back to my example;
     format(pName[playerid], MAX_PLAYER_NAME, params);
     return 1;
}