Once you are in the co-op menu you then go to host, which is located at the top left-hand corner. If you are going to create and host a world for your friends, you must click the co-op menu instead of going to new. Setting up a single-player world is easy, just click new on the starting menu and your good to go however, it is a bit different for creating multiplayer worlds.
You are able to play with up to three other friends in a world. A great aspect about Stardew Valley is that the game is single-player and multiplayer. However, there are a couple of pointers that will help you in doing this. It seems obvious that you got to create a world/game file to start playing.
