I assume you have platform behavior for both players. Click on the player and in the Properties tab, will be the Platform settings. Uncheck the Default Control box. Without seeing anything, this is usually the case. One or both players you should manually code in the events for their movements.
When I did a 2 player game, Player 1 used the A and D (Wand S if moved Up and Down) keys to move while Player 2 used the arrow keys.