Shouldn't this be obvious? I do not see any way to select this, on the first screen, or after clicking Create game.

Thinking of trying a dual or three or four man team, but want to try it on the easier setting, I think.

Use the start menu and select the configuration instead of the game.

There is a "Difficulty" slider on the Gameplay screen accessible from the Options screen. Also, if you want to try "Heart of Fury" mode (super HARD), you can run the config utility in the folder where the game is installed.