** Playing with friends **
If you want to play with your friends, the easiest way is to host your world through the main menu and making sure server visibility is set to "Friends only" or "Public". After you've hosted the world, your friends can join through their Steam friends list, or you can invite them from your escape menu or Steam friends list.

If you still cannot connect, it's usually because have a bad connection through the Steam network. It is usually fixed by changing your Steam download server in Steam Settings -> Downloads -> Download Region dropdown. Just change it to something else nearby.
If you are playing with one other friend, you both need to do this since there is no way to tell which of you is having the problem. It may also be helpful to have it be the same as your friend.

Even though it's possible to go up to 250 players per server, the game is balanced around smaller groups (5 players max). I also haven't got the chance to stress test the game with a lot of players connected.

** Hosting a dedicated server **
The game comes with an included dedicated server tool. It can be downloaded and run through your Steam Library. To find it you have to enable tools in your library filters like shown in this picture: https://i.imgur.com/gr6bAwS.png
Or you can search for it: "Necesse Dedicated Server"

When running the dedicated server, you have to connect to it using IP. This means for other people to connect, you have to find your public IP and make sure the port you're hosting on is forwarded. Other ways to ensure people can connect is to use Virtual LAN services like Hamachi.
You can read more about dedicated servers on the official wiki: https://necessewiki.com/Multiplayer

Hope this helps and have fun playing together!