Trying to play WAW online was a big challenge and took me some days to set up, but I managed to do something:
• First open Cooperative > Private Match > Game Setup > Nazi Zombies and select the map
• If you want all players to join in round 1, use sp_minplayers 2 <-- Number of players.
• And use xpartygo to force the game to start, it will stay in the loading screen.
Now comes the difficult part, as it depends in connection, IP and other stuff I don't have that much knowledge in
• Press F10 to open the Plutonium overlay and once the host is ready and it appears in private match in the "Friends List" section, it means everything is set up.
• In order to JOIN, you will need the host to open the Plutonium Overlay pressing F10 and then press on "Network", the last number that appears will be next to "Others can connect to you by executing the following command in the console: connect [long IP]
• What I did in this part was trial and error, executing the command "connect [that long number]. Keep in mind that at the end it might follow with ":28960" which you might also need to copied at the end, everything must be copied exactly as it appears. Just try everything
If that does not work, try any of the IPs that appear in the network section of the host, and THEN next to it type :28960, once the correct one is in, then you should join the host.
I don't know why your parents told you it was unsafe tho, you can just set up all of that stuff yourself. But be sure that UPnP is enabled just in case.