string[,] strArray= new string[3,3];
You can also instantiate it in the same line with array initializer syntax as follows:
string[,] strArray = new string[3, 3] {{"a","b","c"},
{"d","e","f"},
{"g","h","i"} };
For more about the Multidimension array. You can refer following Link.
http://msdn.microsoft.com/en-us/library/2yd9wwz4(v=vs.71).aspx