It's actually very simple, I did a video like that for a cover where I had to play 2 guitars...
1. You record and film the first guitar
2. You record and film the second
3. Once you have recorded and filmed both guitars, go to iMovie
if you have a Macbook (but if you don't, you can download any other video edit. program.)
4. Now, you open iMovie: Go to Preferences, General, and Klick on the "Advanced Tools" button.
5. After that it's easy: you have to import the first guitar video. Then, you import the second, and you drag it in the 1st video.
6. A box appears on the left side of the videoclip: Click "Side by Side"
That's it :)
Hope it helped...