Here's an example of what Tom is writing about...make sure to hit the links
Tchaikovsky's 1812 Overture is written in the key of E-flat concert, three flats. The key signature, for a "C" instrument, like a piano, will show a Bb, Eb, and Ab. A trumpet is a "Bb" instrument. The key signature for it will look like the key of F, showing a Bb only. Take a look at the following link to see how other instruments fit into this scheme.
http://www.destefanomusic.com/pdf/1812.pdf
The alto-sax is written in the key of C, no sharps or flats, it is a "Eb" instrument.
The tenor-sax is written in the key of F, one flat (Bb), it is a "Bb" instrument.
The french-horn is written in the key of Bb, two flats (Bb, Eb), it is a "F" instrument.
The trombone is written in the key of Eb, three flats (Bb, Eb, Ab), it is a "C" instrument.
Everybody is playing in the same key of Eb concert, but the parts are written out transposed. Also, keep an eye out for the range you put the parts in. Here is a great resouce for that.
http://music-arrangers.com/instruments/
Their home page is a great jumping off place to get to a lot of great information. Includes a chart on what keys are good for horns, what key to transpose the arrangements to for various instruments, and a whole bunch of other good stuff.
http://www.music-arrangers.com/
Peace <><