Well, you buy a MIDI floorboard, such as the Behringer FCB1010 (one of their best made products- can't fault it at all, really solidly built, good functionality, and reasonably priced; about £100 or so i think), and then if you've got a MIDI-capable unit, you run a cable from the floorboard to that unit, and then any other units can be daisy-chained from there. As Denim n Leather said, you can have some non-MIDI functioning units in there too, you just need other devices (for instance, i can control the channel switching and reverb of my JCM900, using the switches on the FCB1010).
You can buy a unit which will split a MIDI input into many outputs (and I prefer this system, as it's a little more robust and easier to deal with MIDI-related problems), but that's an additional cost which, at the start, you won't really need or want :)
And the coolest thing you can do, is connect your computer to the rig via MIDI, get a GuitarPro tab, and create a MIDI track so you can control the patch changes with the computer; so as you play along to the track, all the patch changes are done automatically without you having to do anything .... really fun to do! :)