Report a shipping error in the "My Account" > "Report a Shipping/ Purchase Problem. section of Gamefly and the rest is very easy to follow along with. Get them to send you another shipping envelope for the game which comes with the envelope, cardboard cover, and sleeve.
It depends when it will have a higher availability which, depending on what game it is, may take a while if it is recent or very popular if you are waiting a while i would take in consideration of putting another game as your 1st or 2nd in your gameQ depending on how bad you want this game.
Online and Offline Co-Op: There is a way to play together but it is one whole screen with your friend and you and your friend cant stray too far away and who ever joins has a set of custom made characters with a choice of melee and ranged weapons and the choice of evil or good.