As far as I know, a true MP campaign is not possible. What you can do is use the faction-switch script to get a hot-seat campaign. That is: you finish a turn, activate the faction-switch to your cousin's faction, and then let him play.

However, both of you will still be fighting battles against the computer (even when fighting one another's faction), and diplomacy will be handled by the A.I. as well. I guess that's not what you have in mind?