sweep picking is usually used for playing arpegios. Arpegios being the notes from a certain chord. Anyway, what you do it pick down through 2 or 6 strings and then up pick back through them. So say you were playing an arpegio on 3 strings you might start on the G string and down pick the G string then down pick the B string and then the E. Then you can go back the other way and up pick the three strings. So you will have... down down down, up up up, down down down etc. Instead of your normal down up downd up picking.

http://www.angelfire.com/vamp/murad/sweep_picking.WMV

There is a video that a guy called NeoClassic posted on this forum a while back. Just so you can see whats actually going on. Hopefully you will understand what i have explained after watching it.
Have a look on the search on this forum... a lot of people have talked about sweep picking before.

E-------12-15-12------------
B----13----------13---------
G-12----------------12------
D---------------------------
B---------------------------
E---------------------------

There's a small 3 string from a C major arpegio. You can hammer on and pull of fret 15 when you get to the High E string of you want. Or you can pick it. Usually i find using the hammer on and pull off technique faster.

E------------12-15-12------------
B---------13----------13---------
G------12----------------12------
D----14---------------------14---
A-15---------------------------15
E--------------------------------

Here is an extended version of that last sweeping patern. The same rules apply for this as before. I chose this sweep because i think its one of the easiest shapes to learn. There are many more shapes that are similar to this but still you will apply similar techniques. Just remember to keep down picking then up.

Another shape to practice is this one :

E------------15-12-------------
B---------14-------13----------
G------13-------------14-------
D----12------------------15----
A------------------------------
E------------------------------

You might find this one even more easy. This is just good for getting your picking hand in time with your fretting hand. You can move up and down the fretboard with any of these shapes. I got this one off the petrucci dvd :)

Maybe you knew some of what i've said already but i hope it helps you and has answered your question well.
At least now if anyone else has any sweeping questions they can be directed to this thread !