This rig is similar to a 3-way rig with crankbait (http://www.vingle.net/posts/335718-Best-Bass-Fishing-Rigs-Crankbait-on-a-3-way-Rig) that I introduced a while ago, but more specifically puts 2 lures on the ends rather than a weight and bead.
The Denver rig gives a double presentation: you get to put any lure on your line, leave a leader, and add a second lure as well. Since this set up can be pretty heavy, even with a simple toss out you'll be able to let the rig drop to your desired depth pretty quickly.
You set up a Denver rig by putting a weight and spliter on your line, and then putting two leaders of different lengths on this. At the end of each leader you want to put a lure of your choice, depending on your conditions, and then you're good to go!
The best way to fish a Denver rig, for me, has been to toss out the rig, and go trolling, If you go like this, you'll cover some area and keep it in motion attracting the first to one, or both, of the lures. As you fish, you'll notice that the fish are being drawn to one of the lures more than the other, so you can adjust your lure choices depending on what you find out on the water.
Check out Dean's video above to get a better idea of how the Denver works in motion!