Added Dec 4, 2009
Check your machine manual. Your machine may require that you separate the threads at the tension disks or thread guides. If you have a basic machine like mine, you can thread as follows.
Each needle gets its own thread spool on a different spool holder.
When I sewed, the 2 threads got twisted together at the needle but didn't mess up my stitching. If this is a problem for you, you can try Julie Culshaw's tip of threading one spool clockwise and the other counterclockwise so the threads come off in opposite directions.