Percentile dice, or d%, are a way of using a die, or more often two dice, to select a random percent. To the best of my knowledge the only reason to use percentile die is if you are playing a RPG, such as Dungeons and Dragons.
The obvious way to get a random percent is to roll a die with 100 sides, known as a d100 or a Zocchihedron. These are available, although they are often hard to find, and costly. The facets on a true d100 are so small that the numbers are hard to read, and the die will usually take a long time to stop rolling (some are filled with sand to help prevent excess rolling). The d100s I've seen are about an inch and a half in diameter, and were designed with 'pocks' over each number, giving it a texture like a golf ball. (Although there are d100s are faceted like 'normal dice').
But what most gamers do is use two d10 (2d10), one to represent the ones place and another to represent the tens place. Obviously, you want to be clear on which die represents which place before you roll. To aid in this, most gamers buy specially marked d10, one with the numbers 0-9, and one with the numbers 00-90 (the zeros will sometimes be treated as 0 and 0, and sometimes as 0 and 100, depending on the game).
When you hear someone refer to percentile dice, they almost always mean this set of two dice. (Hence 'dice', not 'die'). Not only are they easier to work with, but two d10 give you truly random rolls, while it is impossible to construct a solid polygon of manageable size with 100 equal sides. Of course, neither of these two systems give you a completely random distribution from 0% to 100%. A true geek will be able to figure out how to get random distribution in a matter of seconds (and then will spend hours trying to convince her friends that yes, this a better method).
If for some reason you find yourself sans d10 and d100, you can also use a deck of playing cards; pull out the cards A-10 from two different suits, and, keeping the suits in two separate piles, simply draw a card from each deck, one for the ones place and one for the tens. Remember to shuffle the cards back in after you use it!