Basically you should look up in lobby select screen if your friends aren't in the same place as you, you won't be able to join them, if they are you can join their lobby. You'll have to create one each area.
Other Dead Frontier 2 Guides:
The First and Only Step (Probably)
As you can see in this picture there are 2 points that maybe be stopping you from playing with friends. A is the Town you are in and what lobbies are in that town so you won't see Coopertown lobbies there. B is the server you are using which is also a reason that you might not be able to see your friend's lobby. Make sure A and B matches your friend's lobby select so you are able to join.