The Craft the World wiki states that you need to have an Improved Stockpile to access "Multiplayer/Coop". Somewhere along the game's development it has been changed to "Improved Portal", so that might be a reason for a little confusion. Another thing is there is no sign of multiplayer in the game.

In order to access "Multiplayer/Coop" you need to meet two requirements:
- Have 5 or more Dorfs
- Build "Improved Portal"

Now, "Improved Portal" needs to be researched first. It can be found in "Advanced Iron Working" branch in technology tree. Once it is built, you will receive spell "Multiplayer" that needs to be cast on previously improved portal/stockpile.

And yes, Multiplayer uses GOG Galaxy to run, so it needs to be open in order to play. As usual singleplayer mode is totally DRM-Free™, so it can be played without GOG Galaxy

Couple of screens for your convenience.
It's Imgur, cause our forum kind of sucks when it comes to screenshots:
http://imgur.com/a/17IyB