record all at once = live
bad : one player play wrong , all restart together.
good : recording a song finishes faster.
bad : lower quality for mic bleed. and in your case using 1 mic only, it wouldn't matter. just to let you know ppl usually use up to 10+ mic/channels to record live. y'know.. toms..snare..cymbals..kick...guitars..bass.vocals..
record one by one = layer
good : one player play wrong, one play re-take himself
bad : recording a song may take quite a few hours.
good : it's better sounding recording than just 1 mic (mono) with seperate tracks at least you can pan guitars left and right make it sound stereo. but in your case, having only 1 mic.. you'll need to start saving up for extra equipment
software = free is good. use audacity.