You can do two socks at once on Magic Loop if you have a very long circular needle. You can also do one inside the other on DPNs, this is very tricky and advanced. Most people who do two at once do so on two circulars. Google 'socks on two circs' and '2 socks on 2 circular needles' etc. for some good tutorials. You may find it easier to start off with one sock on two circulars first, also may be easier to start off the first few rows on DPNs.
Here's one tutorial. Google for many more.
Happy knitting, socks rock.