Hmm, it appears that file was not propogated to the steam build. To correct this:
1) Create a txt file in your game's PlayerData directory named AlphaMPTarget.txt
2) Put the text 127.0.0.1 in there
3) Start the game twice on your machine so that you have two windows, move them around so you can see them both
4) On one, click the start new game button
5) When that one is looking at the mapgen view, click Connect on the other one
6) After a moment you should see the same view on the second one, and be able to play
To play multiplayer with a remote IP, replace the text of the file with that IP and do the above, just with one being on one machine and the other on the other.