If you're connected via LAN (both computers are on the same network) one of the players must start a game (don't go past the lobby) and the other connects through the multiplayer panel.
For non-lan, you'll have to forward ports (guides provided in the network tab of settings, I believe) and the other will type in your IP in the direct connect.
Alternatively, you could use Hamachi, create a network and have all players join it. Then proceed as if you were on LAN.
