When joining a multiplayer match via a Steam friend invite for the first time, you may receive an erroneous message stating that your "Steam client is not running” -- after receiving this error, you should be able to join the multiplayer game successfully. This will be addressed in a future update.
Please note that to join a multiplayer game, you must first register for Beta Access through the Multiplayer option on the HW Launcher.
If you have any questions about this, please submit a support request at http://support.gearboxsoftware.com.