You can set up a private game easily by choosing the Custom play option on the Duel or Co-op screen. Once you open it, choose the name of your custom room (the name has to contain at least 6 letters and a number) and then tap on Start. Once you’ve done this, your friend needs to type the same room name and confirm. You will be then connected to the same match.
Please note: Your friend and you have to be connected to the same region in order to start a custom game. You can choose the region on the setup screen.