This is a copy and paste from a answer I gave in a thread asking something similar;
Go to "Playing Options" press X on the 360 or Square on the PS3 to bring up the cursor where you edit your level of assist, select player and cursor names. Go to select player and change it from off to on. Come out of "Playing Options" and underneath in the pause menu is "Slct. Player" which is now highlighted, not previously. Now you can choose the player(s) of your choice, or the amount you wish to control.