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Short answer: there are a few different ways that let the second person play characters from other saves files or as already existing companions but the earliest/easiest way for 2 players is by going to the innkeeper in the first town, Domina, which lets the other person play as the main character you didn't pick from your save file.
From what I remember, you can create another character on a second save file. That character can then join the current player, and will load in with the stats and gear they had on their save. From what I recall, though, they will not be able to level up or change gear/etc. They are static in that regard, so you may have to take turns save swapping to level up both characters.
Not every mission is going to have a co-op NPC join you, so to make the game fully multiplayer, you'll need that 2nd save. (At least if it still works as it did on PS1)