Instructions
Sign in to your Xbox Live account on your Xbox 360. Instruct the person you plan on playing with to do the same.
Exchange one another's Xbox Live gamertags, and become friends if you aren't already.
Start "Grand Theft Auto IV: The Ballad of Gay Tony" on both you and your friend's Xbox 360s.
Select "Multiplayer" from the game's main menu.
Choose "Co-op Missions" from the multiplayer menu.
Select "Host Game" on either you or your friend's game, and select the "Invite Friends" option.
Select the Xbox Live gamertag of the person you would like to play co-op missions with.
Select "Join Game" on the other player's Xbox 360. This will transport both of you into a co-op mission of "Grand Theft Auto IV: The Ballad of Gay Tony."