I managed to connect to my friend’s PSP and I can see him in the Online gathering hall, however, I don’t know how to go on a quest with him. When we both take the same quest, each one goes to a different quest area :( Help me please!

*facepalm* Please tell me that your friend is using the Bullitin board on the far end of the Gathering hall.
Only ONE of you needs to select the quest, then the other members go to the bullitin board and select Join.