Well, it doesn't mean Not Not for Nothing, nor does it mean Not for Naught, though it's close. Transliterally, if you started a sentence with For Something, it would mean even less, if possible.
This site has lots of idioms with their meanings, usage, humorous cartoons, etc. It's for native English speakers as well as for people learning English. They have a dictionary of idioms and a quiz to test your knowledge of them. This was the idiom for today, but you can go to the main page and research any idioms.