Sorry for saying that, but I cannot even play with my friend. It should automaticaly join me to shard with my friend or with my guildmates, but it does not.

No we are not in phased zone. Why is this working like this?

It worked for me and friend. Gave us some trouble at start tho. Resolved by rightclicking his name in the group window and selecting 'travel to'. After doing it once the server seemed to remember we're friends and put us together even after relogging etc.

I wanted to start in cold harbour with my brother but it just kept saying we couldn't join each other.

I'm going to assume once you're out of the starting area and in Tamriel that you can phase together without any trouble.

I tried this last night with a friend as well. In coldharbor, we could not "travel to" each other, nor could we in any single instance area. however, once we got outside in the starter island we were able to join up.

YEs 'travel to' worked fine for me too.

Though there is a problem in this beta build. And if you have cleared a quest area or changed an area somehow, so it wont look the same as for your friend, then you will be invisible to each other and be out phased and only able to see the marker floating around.

Edit: @2 above: coldharbour is not an area to play together in, it is a short part of the game too.