Equip a weapon in your off-hand to dual wield (you can mix and match any one handed weapons), and put skill points into the dual wielding skill to reduce the off-hand damage penalty (eventually your off-hand will become stronger than your main hand, at level 10).
On the Xbox the off-hand is listed right under the main hand in the equipment list; and similarly for the PC. Someone did mention having trouble trying to duel wield on the PC, as the game was a little touchy when drag and dropping items into the equipment slots, requiring the mouse pointer to be right in the centre of the slot.
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