Co-op isn’t a separate game mode, it is a part of Multiplayer.

To host a Co-op game, go to Multiplayer, select the Host game tab and create a multiplayer game.  Wait for other players to join your game.

Once someone has joined, you can drag one player on top of another player to form a team.

You can then drag one team mate on top of the other team mate to form a co-op team (you will see a linked icon).

Computer A.I. can be added to a team but cannot be added to a co-op team.