There is a good description with examples on
MSDN[
^]
But:
int[,] myArray = new int[myRowsCount, myColumnsCount];
Note that is you want the array populated with items more complex than ints, floats, etc., (such as your own classes) that you must iterate through the array and provide the references before you use them, or provide an initializer when you declare the array. The link gives examples of this too.
Also note that multi-dimensional arrays get very big, very fast. For two dimensions, it is a square law. For three it's a cubic, and so on.