After you get the Power of Fortitude in the first dungeon, you can unlock multiplayer.

Unlock Multiplayer

You can unlock multiplayer after you have gotten the Power of Fortitude from the first dungeon. Afterward, go to the Shadow Temple, which has an icon on your map. Check on the diamond-shaped slot and put the Power of Fortitude in. Shadow Lenna will pop out and enable multiplayer.

Use Multiplayer

After you unlock multiplayer, go into the Options menu and choose Multiplayer. The screen will display keyboard, as well as any controllers you currently have plugged in. You can switch one of these to the Shadow column to assign that input device to Shadow Lenna, allowing you to play local co-op with another player.