This is ultimately easy, but before explaining the process I feel it is necessary to provide a warning. Multiple sets of speakers usually can not be hooked directly to a standard audio amplifier without some sort of impedance (see below for explanation) matching device. This is in reference to those persons whom might want to run speakers in several rooms at the same time (distributed audio). If several sets of speakers are run from one set of speaker terminals the amplifier will usually overheat and shut down, and may blow the output stage. ^{1 These remarks do not apply to PA style amplifiers with 25 or 70 volt outputs, which require special speakers with transformers.}
    The correct solution is to use either an impedance matching speaker selector with the protection enabled, or use impedance matching in wall volume controls. Notice the underline in the sentence above. This is because most speaker selectors are made with a dangerous feature: a button, right in front, to disable the protection. If the switch was in back to prevent accidental deactivation of the speaker protection it would be much better. If the protection is accidentally switched off while running multiple pairs of speakers the amplifier will shut down, may blow output fuses, and very well may damage the output stage of the amplifier. There are really only 2 reasons to turn this switch off, the most relevant being that impedance matching volume controls are being used on ALL pairs of speakers. The other reason would be if only one pair of speakers are being run, making impedance matching unnecessary. In this event, though, leaving the protection switched in will make only a very small difference to the sound, so why not leave it on?

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Why does the amplifier output stage blow? This is due to the nature of a typical amplifier. It must first be clear that an amplifier does not actually make the input signal bigger. What it does is recreate a larger (higher current and voltage) copy of the original signal, and puts that out to the speakers. It makes this copy from the power supply voltage, which is derived from the AC current from the wall outlet. This voltage must be first converted to DC. If not done efficiently the amplifier will hum (because it doesn't know the words). The amplifier controls the power supply voltage by a sort of “valve” that controls the output voltage and current. These “valves” (transistors are usual, but may be IC's, vacuum tubes, or other devices) are controlled by the input signal. In response to the input signal, the amplifying device allows more or less current (and/or voltage) flow through it to the output in an exact (hopefully) replica of the input signal. In order to have the majority of speakers work well with an amplifier, it needs a low output impedance (see the text above for a discussion of impedance). If the output impedance is too high, the frequency response will vary with the impedance of the speakers. This means that some sounds will be accented and some diminished from the levels they should be, and this effect will be different with every different set of speakers. In practical terms this means that, with the most commonly used circuit design, when the transistor (or other device) is fully on, it needs to pass almost all the power supply current available through it. This is the tricky part. The current flow is determined largely by the impedance of the speakers connected. Most amplifiers are designed to work with 8 ohm speakers, and may work into 4 ohms reasonably well. Some so called “high current” amplifiers may work well into 1 ohm. In other words, the amplifiers are designed that when the output transistors are passing the full current and voltage they can take, they are working into an expected value of impedance. When the impedance (ac resistance) of the connected speakers get too low, more current is allowed to pass through the amplifying device than it can take. It either burns up, or blows a fuse, or burns up emitter resistors, or some other form of damage occurs. Fusing often does not react fast enough to save the circuit. So why not design all systems to work into low impedances? Without going too far into it, this can result in huge cost increases. For example, for theoretically ideal performance into most of today's speaker systems, an amp should double it's power for every halving of impedance. So for 100 watts into 8 ohms, it must put out 200 into 4 ohms, 400 into 2 ohms, and 800 into one ohm. Most decent amplifiers today have significantly less than .5 ohms output impedance, so as to perform well with speakers that may drop to low impedances at some frequencies. Our theoretical amp, if made to operate into a .5 ohm load would need to have the capability to put out 1600 watts per channel without damaging anything (in the amplifier!). As you can imagine the cost of a good quality amplifier with this kind of capability is substantial. Now think about this: The average user of this massive amp, with 8 ohm speakers, will only see an average output wattage of 100 watts rms. For most users this would price the amp out of reach. Some amps are built to this type of standard, for the reason that there are speakers that drop as low as one ohm that sound much better if driven by a very high current amplifier. One such example is the Krell Evolution One, which is a monoblock. This means you need two for stereo. They will only set you back about $25,000 dollars each. For those who might think I am making this up, use google to find prices on Krell monoblocks.