To join a Multiplayer session, you’ll need a Multi code (provided by the person who launched the session), and you’ll also need to download the exact same shared Space as the people you’ll be joining (see How can I access Shared Spaces?). Make sure it’s up to date.
Select said Space, and click Open Space. Then, choose Multi mode, and enter the code you’ve been given. And, voilà! You’ve now joined a multiplayer session. It’s that simple!
Please note that the Multiplayer feature is currently only accessible in Play Mode.