Open up a lobby, invite a friend and pop goes the achievement.
If you're confused after just starting the game for the first time, you play through a little tutorial level before the game really starts. It throws you into the next level without showing you any menus after the tutorial. During the tutorial or the first level, you can just press start to get to the main menu, then start the game and the first screen is a lobby where you can invite your friend.
Though inviting them to just join your session in progress, without backing out to the lobby, probably also works.