You will only be able to join his game.
All the quests you do (story and side) will give both of you the XP and money.
Money is %100 shared. You pick up $40 you both get $40.
XP goes off of who did the most damage. More XP to the death blow.
All quest progression is saved. If you guys get up to where you are in the main storyline, it will then continue and all your progression wick be saved along with his.
Hope that helps.