This is probably common knowledge by now, but if you are starting the game with a friend you may be spawned in different areas.
If you want to quest together, the best way to do it is:
After the tutorial, the first watchtower quest you will have is to COMPLETE and get the boots as a reward. It will then prompt you to accept another quest. DO NOT ACCEPT this quest. This quest will then be available at every starting point across the map.
Simply, (unfortuantely) just run to wherever your friend is then start the next quest together and your quests should all be together moving toward the same settlement.
Hope this helps,
Sorry for wasting your time if you already knew this!!