There's a "hidden hack" to allow for local co-op using multiple windows. We'll make this hack official and accessible through the menus one day, but for now you need to use chat commands and add a file into your steam game folder.
Also, it's not possible for both players to share a keyboard - you'll need a gamepad for the second player. This must either be a 360 controller, or one that can be emulated as such (PS3 controllers for example)
1) Drop the attached file into your Secrets of Grindea install folder (Steam/steamapps/common/SecretsOfGrindea). This will allow you to open up multiple instances of the game.
2) Open up two windows of the game
3) Host a multiplayer game in one of the windows
4) Instead of an IP address, join localhost with the other window - this will connect the computer to itself
5) With the desired input selected for Player 1, type "/lockinput". This will make the game ignore any other input devices
6) Switch to the other window and make it recognize the controller by pressing start, and then type "/lockinput" in the chat
7) You can now control both windows at once
Note: due to how Windows handle input messages, the game window controlled by keyboard must have focus. The gamepad overrides all this and can control the game despite it not being selected!