Under the challenge menu, there are two forms of challenges - online and local. You must select the online challenges to unlock all the "multiplayer" trophies. There are 15 challenges, broken into three sections: Easy, Medium, and Hard.
There is no specific challenge you have to complete, simply pick one and complete it. The trophy will pop after.
I recommend Hard Challenge 4, as all you have to do is run, and as long as you complete it in about a minute, you will get the trophy for completing a Hard Challenge with a 5-Star rating.