Nobody is actually breaking the Rules by going somewhere alone. If you are strong enough and brave enough to explore the World alone, then good luck to you. Bear in mind that the World is sometimes unpredictable and you may not always find the same enemies in the same place - especially if you go anywhere often enough to know what to expect. (DMs don't like seeing the same people always in the same place - see the Rule on Camping)

Also of course, if you are alone and get killed, you are out of luck. Prayer rarely helps in this situation.

However, it has been made clear many times that this is a Roleplaying World. Roleplaying alone can be rather difficult and rather dull.
Therefore, we would all prefer that you form a party and go into 'Harm's Way' together. Company can save your life, or guard your corpse until your God sends you back. Company can help you stay alive. A Mage to zap the enemy from behind your back can be useful. On the other hand, a Meat Shield in front can protect your sorry little Mage behind.
Most of all, Company is more fun. If you feel otherwise and prefer to be alone, then there are other Worlds - or of course, both NWN and NWN2 come with Single-Player Modules. These are dull, but that is due to the lack of Roleplay.
Party up and Party on people. Don't let anyone encourage you to do otherwise.
