Thanks Pradeep,
But I know how to create custom component. What I want is some code or some guidance to create custom component for multi select picklist because salesforce do not provide any visualforce component for multi select picklist.
Thanks,
NItesh
You might want to give this a try if you're looking for something beyond the functionality of the standard multi-select picklist: http://www.titaniainc.com/projects-2/jquery-enhanced-component-instructions/
Go to setup->App Setup->Develop->Component
From here you can create your own custom component that can be used in your pages.
For more information go through this link,
https://ap1.salesforce.com/help/doc/user_ed.jsp?loc=help&target=pages_custom_components_manage.htm§ion=integrate