Google for Picture in Picture.
The short answer is that you'll put the source clip(s) for each inset on a different video track, all stacked up. Then use the Scale and Position effects (under "Motion" on the Effect Controls panel) to reduce their size and place them where you want.
If the content of an inset will involve edited content (where you're cutting among various clips or just trimming out unwanted content from a single clip), then you'll probably find it easier to do all those edits in one sequence, then nest that sequence in the master sequence, where you apply the Scale and Positioning effects. That will save the step of applying the scale and position effects to each edited track item.