Local LAN Co-op?


You don't need to download any server.

If you are playing over one WiFi, it's trivial to setup. Open cmd (Windows+R -> type cmd -> Enter), and type command: ipconfig. You are interested in IPv4 Address. If you are not sure which one, just try all of them ¯\_(ツ)_/¯ But it's usually called local connection or something.

If both of you have Steam though, you can join via Steam network.