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Sorry for the lack of information, the online co-op was one of the last additions and all the documentation may be only directed at the open beta testing branch, but all that information is the same.
If you want to play through the story, whoever is hosting just needs to start a level and the client goes to Play Game>Join Game and you should be paired.
I'm assuming you were going to the Online option in the Main Menu and I can understand the confusion, but that is the seperate game mode reserved for PVP (owner vs. thief).
Hope this helps!