You are correct, it's improper English, and should be avoided. A double negative is more common to be used by those who are less educated or those who don't care about how they talk. The reason it is incorrect is because two negatives make a positive, which is actually the opposite of what the speaker is trying to convey. Example: We don't have no milk. The "don't" is already there as a negative, so you would pair it with "any" in this case: "We don't have any milk." You could say "We have no milk", too, without the "don't", and the grammar is still correct But when you "don't have no __", it doesn't mean you have zero amount of it; it means you have some of it. --more than zero/none. That is why using a double negative to express a lack of something is incorrect.

We are taught that double negatives represent bad grammar. That does not stop people from using double negatives.

You'll find examples in slang, dialect, AND proper literature, but in general you should avoid them. It's just confusing. The English grammar rule is that two negatives equal a positive. ("Better English through Mathematics"??)

Yes, people do use them and if you live in the Oakland area of California, according to the Oakland School Board, you are speaking correctly! Double negatives are common in African American Vernacular English, or AAVE, and thanks to the Oakland School Board, AAVE is now considered a proper form of English speaking. The rule states that double negatives have the same meaning as a regular negative sentence.