This tutorial has been written for Drupal 7 but its the same technique for D6. Same modules, same process... the exception is that the admin links below are different.
First off you need to enable the core aggregator module from admin/modules.
Next, we need to add a new feed. This feed drags in from the Twitter API using an RSS link. We can add a new feed from this page: admin/config/services/aggregator/add/feed
We have a few options and these are determinded by what the Twitter RSS options are. On this website here: http://blog.tweetsmarter.com/twitter-tools/create-a-twitter-rss-feed-for-anyones-tweets-or-favorites/ the author explains that we can drag in a list of status's or favorites on our specified user.
i_kos being the username we want to feed. Give this feed a name and save. Repeat for multiple feeds.
To group these feeds together, lets add a category: admin/config/services/aggregator/add/category
Go back to your feeds from the admin screen here: admin/config/services/aggregator and assign them the newly created Category.
Note, The tweets will be fed in through the cron job and automated by the interval set on the feed iteself.
Lets activate the block which this process has created and put it where we want to display it. Add it to the Context needed or simply activate it on the admin/blocks page. Nothing will display until there is some content and running cron manually wont work until the feeds are ready to download again e.g. when the feed interval has been reached. So I waited the 15 mins I had set the refresh to and then ran cron. I now have a feed of multiple twitter users in a single block.