Are you talking about taking to video tracks, and having one play over the top of the other? If so, you can do this with any good video editor, by using fade or opaque. It's basically like using layers in photoshop, and adjusting the visibility of each layer.
If you are talking about playing two seperate movies at the same time on one screen, you have to open up two instances of the software, and adjust the screen sizes.
If you aren't talking about either one of those, you need to be more specific.