This varies depending on whether or not you have Wireless Instruments. If none of your instruments are wireless, You wil need the Rockband USB hub.
For wired connections: Simply Hookup each instrument to either the USB hub or to the 360 Directly. (there are two USB slots on the front of the 360 and one in the back, above the ethernet port.) To get the Microphone working, you must also hookup one standard controller.
For wireless connections: Turn on the instrument and press the connect button (O>>>), then press the connect button on the Xbox to connect the controller.
You cannot have more than one drum set or one microphone, and no more than 2 guitars/basses.