A comparison set allows you to display prices from multiple merchants for a single product. Below are the steps outlined to create a comparison for a single product.

Find the product you want to create a comparison on. Click the "create comparison set" link for that product.

From the comparison set building page, you will be able to search for and add additional products to this set by clicking the "add to comparison set" link.

Below I've added 4 products to this comparison set.

You can always get to comparison by expanding the COMPARISON SETS menu item in the sidebar and picking the product.

Now you need to add the comparison set HTML to your Product Details page.  Go to The Factory > Your Store > VIEWS > PRODUCT DETAIL > Default.  If you are creating multiple comparison sets, you only have to do this step one time.

Drag a Comparison set module to the module area. 

Click the template icon to expose the modules template area then click Template 1 from the snippets window.

Now after you have made your views changes, update your store by clicking [Update Products and Settings] then navigate to a product known to be in a comparison set.  Here's how it should look: