There are two ways to enjoy multiplayer games.
The first is local split-screen play for two players. In order to play this way a single player game must first be selected and started and then the second player can join by connecting a second controller.
The second is online peer-to-peer play for up to four players. In order to play this way one person must create a game and then others may join that game. The world will only be active as long as the host is playing. Once the host quits all other players will be kicked from the game and will not be able to rejoin until the host is playing again.
Split-screen will not work with online multiplayer. They are separate modes.
Online play is best enjoyed with friends so that game sessions can be coordinated. If you join a stranger's game you have no idea or control over when or if they will continue that world. Many hours of progress can be lost if that host decides to delete that game.