You can't load a character created from another game, into a different game.
Scenario 1)
You want to play with your pal Joe. Joe already has a level 10 Knight in game A, where as you have a level 10 Ranger in game B.
You, nor Joe, will be able to load/import your characters to either game, as one is Game A and the other B.
Scenario 2)
You want to play with your pal Joe. You create a new game in multiplayer, and wait at the character creation screen for Joe to join. Both you and Joe create characters together, and continue on in the game. As you progress, you save your game progress.
Should you and Joe wish to play again, whoever has saved that game, in this case you, must load the save file and allow Joe to connect. At that point Joe can continue to play the character he created with you.
Unfortunately, characters can not import into other save games. For Co-Op, you are only allowed currently to use any characters created in a single game instance as no importing features are currently implemented.