Existence of SL(2,Z) duality in toroidally compactified heterotic string theory (or in the N=4 supersymmetric gauge theories), that includes the strong weak coupling duality transformation, implies the existence of certain supersymmetric bound states of monopoles and dyons. We show that the existence of these bound states, in turn, requires the existence of certain normalizable, (anti-)self-dual, harmonic forms on the moduli space of BPS multi-monopole configurations, with specific symmetry properties. We give an explicit construction of this harmonic form on the two monopole moduli space, thereby proving the existence of all the required bound states in the two monopole sector.