As shown in prior posts, there are several ways to go. You can pay anywhere from $100 to several $1000 dollars to set yourself up. You need to ask yourself a couple of questions:
1. How much do you want to pay?
2. Do you want to have your own personal monitor (speaker/amp)?
3. What kind of effects or microphones will you be using?
Based on your post, I would steer you to a small mixer. Behringer makes an inexpensive 4-channel mixer (8-inputs) that has phantom power (for condenser mics) with effects send/return (Xenyx 802) for $60 at Musician's Friend (www.musiciansfriend.com)
. I have been happy with their mixers. When it comes to mixers - as with most musical equipment, you can always pay more. The Rolls unit mentioned above is going to be a step above in both price and quality of sound but the same idea applies. You're mixing three signals together into one and sending it to the PA. Mackie makes a nice product as well which has a longer history than Behringer and some say better quality. If you would like to add your own effects, some of these mixers have on-board effects included.
You will not need a powered mixer because your PA is already powered.
If you're looking for a microphone, I would recommend you go with nothing less than a Shure SM57. This is a good, solid microphone. Again, you can buy better quality and there are a lot of better mics for more money but a lot of pros and semi-pros use the SM57.
While we're on the subject, you will need cords if you don't already have them. At minimum, get cables that have a lifetime warranty. There are some inexpensive cables that will get the job done with a lifetime warranty. Get no less than 20 ft. lengths of cords. You'll thank yourself later as different venues require different setups. It's nice to be able to plant yourself practically anywhere on the stage. You will need four cords for your setup. One XLR for your sax mic., one 1/4" for your guitar, one 1/4" to go from your mixer to the PA, and one cable for your EWI.
If you want your own amplification, you can go with the mixer/monitor combos mentioned above or do a search on a keyboard amp - they typically have mulitple channels and an output. You could also look for a bass amp with multiple channels. For use as a monitor, you should do fine with a 35 to 50 watt amp.
You don't mention the type of guitar you are playing (electric or acoustic). I know next to nothing about electric guitar amps. only that players are very particular about the sound they get out of their amp. If you are playing electric, you would probably want to get yourself an amp just for that reason or you could use a mixer coupled with a "POD" or similar guitar amp simulator.
Once you have all the fun toys, follow the instructions in your mixer or amp manual to show you how to hook it all up. If you want to learn more, go onto Musician's Friend, do a search on mixers, and download a manual. Mackie and Yamaha have very detailed manuals when it comes to showing you how to set up and use your mixer.
Best of luck, you'll be rockin' in no time!