This is just playing where your friends connect to you to play, no external setup needed.
You can do this from the main menu by starting or loading a game and making sure the Multiplayer setting is on.
You can also make your save games (including from multiplayer games) multiplayer by selecting the Multiplayer option in the Load Save Game menu.
Generally speaking all setup for locally hosted multiplayer (that is, you playing with your friends) is done in-game through in-game options.
If you are the host, you can access the Admin Menu with the \ key.
You can manage players, kick people, spawn stuff, etc.
When starting the server, you have the option of selecting Private/Friends-Only or Public Visibility. Public means you’ll be shown in the server browser, and Private means your friends need to join you through Steam Friends.
VEIN doesn’t need Steam but it will make setup more complex.
Check Multiplayer without Steam for a setup guide.