Hey pepsifreyja,
There are already people doing that if you just want to know which is best. It's pretty clear that Houdini (free) is the best one right now. Followed very closely by Rybka.
Here is an online tournament that was recently run.
http://www.tcec-chess.org/div_i.php
If you want to see them play yourself, first decide what engines you want. If you want free, try Stockfish and Houdini. If you want paid, there are many options. Rybka and Fritz are probably the most popular.
If you use a paid one like Rybka or Fritz, their instruction manual will tell you how to do what you want, including importing other engines.
If you don't want to pay for Rybka or Fritz, then you will need to download a GUI. Try Arena. I've heard many people have had good luck with that.
So your first step if you want it all free is to download your engines. I would recommend Stockfish and Houdini. Then download your GUI. I would recommend Arena. Then read the Arena manual on how to install the engines into Arena.
Start with these first steps. If you get stuck, or don't understand something in one of the manuals, go ahead and post another question in this thread.
Does anybody know how to set up two chess engines so they can play against each other and you could watch them plating against each other. If this could be done would it not give a good idea which chess engine is the best out there????