Just a note, the gui for LAN coop joining is a little wonky as i built the singleplayer version first then implemented multiplayer.
The host should always start the game instead of the person that joined. They will automatically load once the host presses play. Reselecting characters and weapons may be necessary if someone joins after the host initially selects them.
In order to play multiplayer on a single computer, you can set the ip address at the top to local host 127.0.0.1.
This does work over LAN connections as well. You can use command prompt -> ipconfig to identify your subnetted IP address (Mine defaults to 10.0.0.26)