“Double boiler” is the term that describes a two-pan setup, where an upper bowl is used to cook heat-sensitive food and a lower pan is used to simmer water to gently heat the upper bowl. The upper bowl is never exposed to direct heat in a double boiler setup, but is only heated from contact with the steam from the water in the lower bowl. This makes it perfect for cooking meringues, melting chocolate and butter and making other delicate sauces and custards.
Many kitchen stores will stock double boilers, but almost everyone I know – myself, included – simply makes their own using a saucepan and a metal or glass mixing bowl. The saucepan is filled with about an inch of water and brought to a simmer. The water is kept on a low heat while the mixing bowl is placed on top. All you need to make your double boiler a success is to ensure that (1) the base of the bowl does not touch the water below and (2) there is a seal around the edge where the bowl meets the pan, so that no moisture can escape into your sauce/mixture and potentially ruin whatever you’re cooking. I use a wide, shallow metal mixing bowl that works perfectly with many shapes and sizes of saucepan.
If you do end up buying one, be sure that your insert fits your saucepans tightly to create an airtight seal. If you end up with one that is too small, it won’t properly serve its purpose (water can cause melting chocolate to seize, for instance). The best way to do this would be to look for an insert in the same brand as your cookware, or to simply measure the diameter of the pan(s) you intend to use before heading out to the store.