There is a few different ways you can do it... and it depends on what you are making...
If you are hold both strand together as one, just hold them together as one and cast on like you usually would...
If you are doing color work you can cast one 2 different needles and then move them one at a time to the needle you will be working with (that's what I did for my 2 socks at once)
You can also do cable cast one with them at them same time... they explain here how to...
http://www.knitty.com/ISSUEfall06/FEATextreme2in1.html
I am sure there are more ways, but these are the ways I know...