Just nest the second set of tabs within the first set inside your html like so:
<div id="tabs">
<ul>
<li><a href="#tab-1"><span>One</span></a></li>
<li><a href="#tab-2"><span>Two</span></a></li>
<li><a href="#tab-3"><span>Three</span></a></li>
</ul>
<div id="tab-1">
<p>First tab is active by default.</p>
<p>Second tab contains nested tabs.</p>
</div>
<div id="tab-2">
<!-- Nested Tabs! -->
<ul>
<li><a href="#nested-1"><span>One</span></a></li>
<li><a href="#nested-2"><span>Two</span></a></li>
<li><a href="#nested-3"><span>Three</span></a></li>
</ul>
<div id="nested-1">
Nest tab 1 content: Onerem ipsum dolor sit amet, consectetuer adipiscing elit, sed diam nonummy..
</div>
<div id="nested-2">
Nest tab 2 content: Tworem ipsum dolor sit amet, consectetuer adipiscing elit, sed diam nonummy..
</div>
<div id="nested-3">
Nest tab 3 content: Threm ipsum dolor sit amet, consectetuer adipiscing elit, sed diam nonummy..
</div>
<!-- End Nested Tabs -->
Regular tab 2 content (optional)
</div>
<div id="tab-3">
<p>Second tab contains multiple tabs.</p>
</div>
</div>
..and initialize them both on document ready like so:
<script>
$(document).ready(function() {
$("#tabs").tabs();
$("#tab-2").tabs();
});
</script>
When in doubt, check out the jQuery tabs api documentation at http://docs.jquery.com/UI/Tabs