On the Shadowgrounds website it says:
Shadowgrounds has co-operative multiplayer on the same computer for 2-4 players. Having more than one player in the game requires the use of gamepads. Other players will help Wesley Tyler in his alien-battling. Please refer to the Gamepad Configuration page for more gamepad information.
Please note that Shadowgrounds does not support Internet or LAN play. Co-op can only be played on the same computer (one player on keyboard and/or 1-4 using joypads).
The co-op mode was added very late in the development, as an extra bonus to fans and gamers. We had left co-op support out of the official development milestones, because we knew that Internet/LAN support was impossible. The coders decided that they wanted to have co-op on the same computer nevertheless, and created it on their spare time.
Doh! I didn't even think about checking after a site. Thanks for the answer.