You can't make 2-column footnotes right now in InDesign. That feature is coming in the next update, apparently (as mentioned by an Adobe employee on the main InDesign forum a while ago).
Right now, all footnotes appear under the column in which the reference to them appears. So if the text frame has 3 columns, the footnotes will too (though each of differing depth). And if the main text is in a single column only, there is no way to have the footnotes in multiple columns.
Our Footwork product, which allows this, works by separating the footnotes into a separate, regular InDesign story, and then synchronizing the layout of both the main text and footnote text on the page.