<p>I'm working on an iphone application (not web app) and I'd like to build a form asking a user to indicate a price range. Instead of using two text fields, I would prefer to use a double slider to set the minimum and the maximum price.  I know that it is possible de use a simple slider (sound control for exemple) but i've never seen a double one. Can anyone help ?</p>

This is not possible without creating a custom control. You'll need to inherit from UIControl or UIView and provide a custom drawRect method. You'll also need to respond to touch and drag events to update the state of the control. I have not done this myself, but I would be prepared for a fairly significant amount of work to get everything to respond and display as expected.
I'm curious as to why you need to have both values specified on a single slider? Why not use two sliders either side-by-side or stacked? It would not require any more input steps than a double slider, and would conform more to standard UI guidelines.