You have to get a few events in your belt first (tutorial essentially) after that the full Horizon Online menu should open up. Open up options (hamburger button on controller) go right to Online then Convoy is how you manage your online session, you can invite friends or join a friends session and then you can do events co-op together - anything you can play, you can play coop. Friends/Players also lets you invite people into your session, but Convoy is how you join stuff through party leader.
Unfortunately online sessions are a bit broken right now, you'll likely constantly get disconnected and frozen for a second so most people are playing offline (Solo mode). It'll probably work in a week or two.
its cross play so just add people to your xbox friends list and they will populate your drivatar, rivals, etc lists with their player which is nice. My GT is spronk, i already have ut in my list. I generally tend to be AFK or doing other stuff most of the time if I am playing, so don't be mad if I don't accept your invite.