In the center of your object, there is a little orange dot - this is it's Origin Point. You first need to move the origin point back to the World Origin (where the X and Y axis cross) - With the object selected, press
Shift+S and select "Selection to Cursor" (because your cursor is at the world origin anyway). This will move the whole object back to the World Origin Then, in Edit Mode select the whole object and move it back to where it was - moving it away in edit mode will leave the object's origin back at the world origin, while the object moves away - we want this because the screw modifier works based off an object's distance from its (and the world's) origin. Lastly, make sure the correct rotation and scale are applied to the object (Select it in Object mode and press
Ctrl+A and select "Rotation & Scale").
If you want an easier way to make a double helix, first, go to User preferences > Addons, and make sure you have "Add Curve: Extra objects, and Curve Tools selected:
Add an Archemedian Spiral.
In the operator Panel at the bottom left, change the height to 8 or so.
In the curve options, change the twist to Z-up and extrude it a bit.
Duplicate the object and rotate it on the Z-axis 180 degrees (Shift+D + R + Z + 180) to have the second one in place.
If you want them both to be "one piece", you can join them afterwards by selecting them both in Object Mode and pressing Ctrl+J.