A multiple exposure image involves making more than one exposure on a single frame of film. Whether the two images are related or not is up to you, but multiple exposures offer a fun and easy way to experiment with imaging and design. Some SLRs (and some DSLRs) even have multiple exposure settings.
To ensure you get the multiple exposure method right, the best way to shoot is to plan ahead. Envision what you would like your image to look like, and then look for the shots. If you photograph one part of the exposure, and then see another image you would like to capture in its own frame, you will have to start from square one.