Each pedal needs a power supply, usually 9 volt from either a battery (inside it), or an ac/dc transformer, a little black box to plug in to house current, and then a little wire going to the pedal; best to use one from the company that made the pedal, unless someone can make sure a more general purpose one is OK. All the other connections, guitar to pedal, pedal to pedal, pedal to amp, are done with "instrument" cables, or at least that type. In the much shorter lengths best used to just go between pedals (like 6-12 inches), compared to regular guitar cables (say 10-50 feet), they are often called "patch cords", and you can even buy them by the bag.
By the way, get in the habit of thinking which way things go. It starts with the guitar, then goes out through whatever pedal(s), ending up as input to the amp. Power up & patch in everything, and rock out.
TIP: If using batteries, when not playing, take the instrument/patch cords put of the pedals...
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