ok lets say i play the bass in e minor and then the guitar plays in f minor.
Is this gonna sound like **** then.
If a instrument plays another key or scale should all other instruments change to the same.
And if a guitar plays these chords E A B G for example how do i know which scale goes "over" it.
I dont get it really with the go over thing.
Anyways thanks in advance.
you can't boil it down to something as simple as you're looking for; the reason e minor and f minor sound bad together isn't just because they're different keys, it's because they're very distant keys (e minor has 1 sharp in the key signature, and f minor has 4 flats), thus few of the notes overlap, and all harmonizing tones are going to sit against chords. On the other hand, a minor only has one different tone from e minor, and all harmonizing tones except for F natural are either going to sit inside or sit outside the chord structure. While most songs are written with a strong key identity, this isn't always necessarily true, and thus if you're looking to create some really interesting music, your best bet is to analyze each of the chords being played (like your EABG set) and find what notes are in the chords (hopefully they're not all triads in 1st inversion...), so you can determine what notes will sit inside and outside the chords and what notes will sit against them.
Even after having heard so many questions about keys, chords etc., I always have to remember the fact that we were all beginners and noobs some time ago......So, in your case - like GumbyEater said - it's hard to bring it all down to a simple solution.
A question like " should we all play in the same key..." is really hard to take - sorry.....
I recommend to get a lot of information about musical theory basics somewhere in the net, there are millions of sites, incl. this one....
I think, it's impossible to explain it all to you in a few words because your missing even the most important basic stuff of theory.
This may sound very arrogant, but please - that's not my intention. To help you, it'd take more than a simple reply here.
I hope you understand what I'm trying to say....so don't flame me for sounding like an allmighty teacher *g*
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The simple answer is that yes, you should play in the same key.

I wouldn't try to experiment with things like differing keys for different instruments until you're more versed in the theory behind it.