A film camera does double exposure by exposing the film to 2 scenes twice. Since a dSLR saves individual images on the memory card, u have to use a more crude way to achieve the effet if your camera does not have this function in-built.
Method 1:
1. Set your aperture very small to reduce the amount of light entering.
2. Set a long shutter speed.
3. Take a shot then quickly...
4. ... use a black card to cover the lens.
5. Remove the black card to expose the sensor to another scene.
6. There u go, double exposure. U can even do triple of quadruple!
You'd have to play around with the aperture & shutter speed abit to get your desired effect.
Method 2:
1. Take 2 shots.
2. Upload into computer.
3. Use Photoshop to put both pictures into 2 layers & edit the transparency of each layer.
4. There u go! Double exposure too! But this is MUCH easier... haha! U can also triple or quadruple it y'know?
For me, I'd go for Photoshop unless I'm sick of using the com or I'm bored. =)