Setup the server is go to "Multiplayer", select if you want to play over the web or LAN. If you look at the upper left side of the screen, you will see a drop down box that defaults to "LAN Server" - you want to change this to "LAN Campaign Server".

All of the Sanchez maps are listed in order with the mission number before the name. IE: 08_Toxic_Revolutionaries_Part1.