Buy the right AC adapter for each effect, as they are not all the same. These will be available online at outlets such as Musicians Friend or eBay, or from brick-and-mortar retailers such as Guitar Center or your local independently-owned music store.
Buy a surge protector with enough outlets to plug in all your effects. If you own more effects than one surge protector can handle, buy two surge protectors and plug one of them into an outlet on the other surge protector.
Plug the surge protector into the extension cord and plug that into the wall outlet. Plug your AC adapters into the mini jack on each effect and insert the plug ends of the adapters into the outlets on the surge protector.
Plug your guitar into the first effect in the chain, then turn on your amp and set the volume at a safe level. Turn on the surge protector's power button and you should be good to go.