This is a very important topic, cleaning your brushes makes sure that they work the best they can and that they don't get nasty. It is also very easy to clean brushes. I'll be cleaning my eyeshadow brush today, I clean this one about once a week since I have a daily look which uses this brush for one color only.
First, get your not clean brush:
Then get your brush cleaner. I read somewhere once that you can use baby shampoo and after trying it out, I found it works great. I also like that I can buy the travel size bottle of it since it is cost effective and doesn't take up much space. I pour a small blob into a paper bathroom cup.
Then I fill the cup 3/4 full with water and stir vigorously with the make-up brush. Try using a whisking motion for best results.
Rinse out your brush.
Straighten the bristles out if they are messy and let the brush dry! A toothbrush holder works great for thin handled brushes (which for me includes all but my face powder brush).
Now your brush is clean! This does not work well with super cheap versions of synthetics (I lost my costuming face powder brush finding this out) but any quality brush should have no problems.