Hundreds of deaths? Against Eikthyr? You're gonna hate the third boss.

It sounds like you two are on separate PCs but if not, and you're playing on the same PC, then you can't join each other.

GunsForBucks is right, whatever each of you do on your own world doesn't affect the other, you can only really affect his game world if you both end up playing on the same PC, account, and world or if he runs a server and you join his world.

And that's how can you play together. You can take your character, or make a new one that you'll use only to play in his world, and join him on his world. If you want to join his world then make sure he starts a server when he starts his game and is in your friend list on Steam. You can filter games by friends, see his game, and join. I'd suggest you use a password for the game so others don't jump in if they happen to find the game (which they shouldn't if you aren't making it a community game).