If you are happy to use modelled sounds only from the POD (and many people are) then go with Joel_brown's method.

If you want to use your Marshall pre-amp sound then you could consider the other methods ...

Front of Amp

     Guitar ==> HD Input

     HD 1/4" Output ==> Amp Input

This is the simplest way and works well for many people.  It works well if you are mainly using the clean channel on your amp or you are only using effects that normally sit in front of the amp(e.g. compression, wah, distortions, some modulations).  It is also OK for amp modelling if setup correctly.  Not always so great for reverbs and delays etc, particularly where higher gain tones are used.

In the Loop

     Guitar ==> Amp Input

     Amp FX Loop Send ==>  HD Input

     HD 1/4" Output Left ==> Amp FX Return

This way works very well for effects like echoes and delays, reverbs and some modulations.  Not so well for distortions and wah.  Amp Modelling will almost certainly sound weird.

Four Cable Method (well actually more cause of the stereo)

     Guitar ==> HD Input

     HD FX Send ==> Amp Input

     Amp FX Send  ==> HD FX Return Left

     HD 1/4" Output Left ==> Amp FX Return

This is the all singing, all dancing method for hookup.  It allows you to put all effects where you want them, to use your pre-amp channels correctly and allows for amp modelling too.  It is a pain to intially get your head around and setup but the results can be excellent.  For more details on 4CM and what it does check the link here. http://line6.com/support/docs/DOC-2523