I've never been able to find any split screen multiplayer on it either, and I've had it for a year!! I just assumed it doesn't!!..
I've got the Steering wheel for XMas.. takes some getting used to, very tricky on your lap, could do with some high sensitivity setting, but for the 'realism' it's excellent, I've never been any good using the standard controller for manual gear changes, but this wheel makes it easy.. can't wait for Forza 2, and the wireless PC receiver, so I can use it on the PC..