Watch the Sweep Picking online guitar lesson by Dave Celentano from Classical Concepts for Rock Guitar
The best way to master sweep picking is to work on one direction at a time. Begin with an up stroke sweep using an A minor arpeggio and rehearse this four times (or as many times as needed to get the hang of it). When you're comfortable with the up stroke sweep move on to the second half, which develops the down stroke sweep with an E major arpeggio. Keep the notes separate from each other by releasing the finger as soon as the pick strikes the next string. Perfecting this will require coordination so please take it very slow and work it with a metronome. For the best results with both descending and ascending sweeps use one continuous pick stroke motion across all five strings (think of the sweep as a slow motion strum across the strings).