There's a server/multiplayer menu on the left hand side of the main menu on the wall.

You can either join your friend by clicking join on the friends list left of the server browser, or make a private room by pressing the private room button on the right side of the server browser.

If you're having trouble connecting to your friend's private room, there's currently an issue that prevents you from finding friends you've given a nickname to on Steam, a fix for this is in the works but until it's out I recommend you remove your friend's nickname.
(Should only be another day or so.)

Alternately just play in a public room! :)