So if you want to play your own missions in co-op then you'll need to host your own game. Which means you'll have to forward ports on your router.
PortForward.com is the best place to go.
Select your router make and model, select Borderlands, find out your IP address.
Ports you need to forward are:7777 (TCP and UDP)
3783 (Voice Chat Port)
27900 (Master Server UDP Heartbeat)
28900 (Master Server List Request)
29900 (GP Connection Manager)
29901 (GP Search Manager)
13139 (Custom UDP Pings)
6515 (Dplay UDP)
6500 (Query Port)
To find your IP address open the command window and run IPCONFIG