A Guild Mate of mine is running Cheesemonger's Hollow. I've already done it.

Is it possible for me to do it with her? Or is it a solo-only instance?

I believe it's solo only. I've heard many people complain about this. Perhaps they'll allow grouping post release.

Don't worry though, Sheogorath is a friendly chap.. she'll be fine.

Its been nerfed into easy mode because of all the inept people who couldn't kill Gutsripper.