This is the Official guide on how to create a Lobby on SCP: CBM to play the SCP: Containment Breach game with Friends or people online
To make a lobby you Firstly Need
After all of those are Done you will need to Create a Lobby in the Main Menu. ( Multiplayer > Create lobby > Set up the server > Create )
After all those are done and the People are connected, The Lobby hoster can press Start Game to Begin the session.