If you still didn't understood how to play coop:
1. Being in start location do not start the game immideately
2. Press SHIFT+TAB to open Steam Overlay.
3. In Steam Friends find your friend and choose him to plat. Friend has to confirm invitation
4. Eait for automatical opening of a door and here he is! Right behind this door!
And remember - both players has to be online - invisibility or absence of connection will not let you play togehther