The main result of this paper is a derivation of a generalized nonlinear Langevin equation (GLE) for n interacting particles in a bath. A consequence of the derivation is that the exact form of the (generalized) fluctuation-dissipation theorem is obtained. We discuss also the relation between the memory kernel of the GLE and some corresponding correlation functions which can be easily obtained in a molecular dynamics computer experiment. In the same spirit it is shown that the approach applies to a Brownian particle subjected to a stationary external field. The technique presented in a previous paper to simulate general, ized Brownian dynamics can be easily extended to the present case. Our derivation intends to clarify the uses and (possibly) abuses of the Langevin equation in Brownian dynamics studies.