How to play the 2-Player mode?

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On the Pac-Man Special Color Edition game for the Gameboy Color, when selecting the classic game "Pac-Man" it gives you the option to choose 1 or 2 players. When I try choosing two players, the cursor will immediately move back to the single player option.
So how do I play 2 Player? Do I need to link a two Gameboys together that both have the game? Or just two Gameboys together? Thanks!
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Images: Mike, Matthias Groeneveld, Joe Calomeni, Erik Mclean