I'm playing Burnout Paradise on PC, and I've recently gone online, I played the freeburn challenges with someone else hosting and it was pretty fun. When I tried hosting freeburn challenges I simply couldn't do it, I could only start racing events, without any other option else. I press number 6 on the number pad and try to find the option with no success. I'm aware that you got to have at least two people in the room, I did have more than one and sometimes even 3 or 4 people in the room but the option never appeared in the easy drive menu, I tried several times.
 
I even tried to press the side arrow where it says "race" while choosing the general aspects of the race, but it doesn't change.
 
What am I doing wrong?

I don't know. I have the same problem, can only start a normal race.

To host a freeburn game you need to go into the menu and select the play online feature, it should give you the option to create a room or join an existing room, if you create or start the room you can set challenges, if not, only the host has control of the options for this. I've just been online playing it myself and it's pretty much how it worked for me today.