You run the compiler separately for each effect source file (one source file per effect, including the various shaders and helper routines). There will be a separate shader object file for each effect, similarly. The command line depends on what you actually want to compile but something like this:
fxc.exe /T ps_2_0 /nologo /E main /Fo"Effect.fxo" "Effect.fx"
or
fxc.exe /T fx_4_0 /nologo /Fo"Effect.fxo" "Effect.fx"