I would post a link to handy guide on how to setup local co-op, but my account was just created and still in revision, so I can't really post links without raising some alarms... In any case, something along the lines of "dos2 split screen" on your search engine should give you good results :D
As far as I'm aware, the only way to do proper split screen is through the use of 2 controllers, since split screen requires a different interface... I'm interested in knowing if that's not the only option though!