You need to make a multiplayer game.
If starting fresh : select multiplayer from the main menu. Create a private lobby. Then turn on the second controller and press a button (default being X). The second player should then join in split screen.
If continuing a save: load up the multiplayer save file. Once loaded, press start and select multiplayer. Once the screen is up, turn on the second controller and press a button. The game should then create a split screen environment and you can move characters around under the player icons to select who is controlling which character.
This is incorrect, you can easily join by just pressing options with a second controller on a single player game
