What do you mean by ‘building an application in two languages’?
If you mean that you need its content to be translatable in two languages, then you may define a default one as Yii::app()->language, and switch it to the other one according to your application behaviour (for this case you may take a look at one of extensions as an example which way language handling may be coded). For translations storage you may use files or db. More often I use message files, dividing all translations into categories (one category - one file) and using key phrase that will be translated into any language, e.g.
If you mean, that you need controllers/actions to be written in different languages (thus giving translated urls), then you may need to use CUrlManager, writing custom url-rules.