there should be heaps of stuff on basic relays on here and crap load of info on google :P
but...
a relay is a high powered switch, so u put your switchable power ( remote cable ) through relay, and on the other side u put your permanent power ( from battery - high power )
usually a remote cable will not have enough power to power on 2 devices, let alone 3... so what we would do is use a relay "switch" to switch a higher current power source...
- in other words - when the remote turns on, it switches the relay - which turns on the power that u have run through the relay (from the battery etc) - so now u get more power through the same application... u then connect your devices to this instead, and that way u have enough power to turn on all your devices...