We investigate the creation of double K-shell holes in N2 molecules via sequential absorption of two photons on a time scale shorter than the core-hole lifetime by using intense x-ray pulses from the Linac Coherent Light Source free electron laser. The production and decay of these states is characterized by photoelectron spectroscopy and Auger electron spectroscopy. In molecules, two types of double core holes are expected, the first with two core holes on the same N atom, and the second with one core hole on each N atom. We report the first direct observations of the former type of core hole in a molecule, in good agreement with theory, and provide an experimental upper bound for the relative contribution of the latter type.