Ebony -- others have given good advice. The only way to really train a horse not to run off is to prove to them that you are the leader in all situations. You do this by gaining her respect on the ground and then by showing her while riding. However, to do this you have to be a confident, even-keel rider.
So, as others have said, tie up the loose horse until you and your horse are better, more seasoned.
After you have a more secure seat, and you can canter your horse with confidence, stop him, turn him, control his hip, horse maintains whatever spped you ask for until YOU ask for a different speed/stop, etc; then ride with your sister and have her trot past you, when your horse goes to follow, make him turn some small circles at the trot in both directions. Then let him rest for a minute or two. Keep repeating this process until he figures out that "wanting" to run without you asking gets him some hard work. Soon he will maintain a walk while the other horse trots past. Then, do this at the trot while your sister lopes past. Keep doing it as before, until he will stay at a trot and not change his speed. Then do it at a slow lope, with your sister cantering by...same steps until he maintains that slow lope.