If by dual hard drives you mean RAID 0, it basically allows for faster access. If you want to copy a file to your drive, for example, half of the file would go to one HDD, and half to the other. Theoretically, this could double transfer speeds, but in practice, just like with SLI'd video cards, you'll never approach this speed. I'm simplifying this, but that's the basic idea.
It's not that hard to set up, provided your motherboard supports it. You'll need to enable RAID in your BIOS, then select a configuration (RAID 0). You'll also need a seperate driver (on the mobo CD) to install Windows.
You can also get PCI RAID expansion cards, which work in the same way.
The other main type of RAID is RAID 1, where the same data is copied to both hard drives. In this way, you only have the capacity of one hard drive, but have a real time backup in case one of the drives fails.
Alternatively, you could just have two seperate hard drives. You could use one drive for Windows, and put data on the other drive. This would make it somewhat easier to reformat the compter, as you can copy all the data to the second hard drive. You can also remove the drive and plug it into another computer to transfer large amounts of data. You can also put the Windows swap file on the second drive, which can improve access times.
For more detail on RAID configurations, read HDD 101.