Hypothetically, let's say you've gotten an offer of representation by an agent.
Secondly, you're probably wondering what protocol is. As an agent, I'll give the writer 7-10 days to accept my offer. There are several reasons for this. One, I understand that other agents need to be notified (more on this later) and as a professional courtesy I want to extend them the opportunity of jumping on the great ms (or so I can later rub in their faces that I got it and they didn't--I'll get my victories where I can). Two, I want the writer to mull my offer over, do a little more research about me, and really decide if I'm the best agent for the job. If a writer decides he/she doesn't want to work with me for whatever reason, then please, reject the offer. You don't need to accept the first offer that comes around. If you think we won't work well together, (and for some reason I didn't pick up that vibe), I don't want to find out the hard way.
Okay, thirdly, you have the offer, you've popped open the champagne, and squealed to your closet friends about it. Now you have other agents with partials or full manuscripts that you haven't heard back from. Politely inform them of your offer, the title of your ms, and the date at which you need an answer by. In the subject line, put "Offer of Representation." Always catches my eye and I will usually grab your ms right then and start reading (you've been moved to the top of the slush pile because someone has already weeded you out for me). If your offering agent hasn't given you a deadline, ask for one, or ask for 7-10 days (decide which one you want) to inform other agents.
Your question now should be: which agents do I inform? The ones who currently have your partial or full ms. Not the ones who have rejected you. It's up to you whether you want to inform agents who only have your query but haven't responded yet. For those, hit the ones you like best, such as one you really, really, really want to work with. Personally, I do appreciate being informed, because there is nothing I hate more than getting excited about a query letter only to be informed that they've already been signed.
An offer from a small press works the same. In that case, you have to make a decision. Is the small press really the way you want to go? Do you still really, really want an agent? If so, you might want to forgo the small press altogether. If you just want someone to want your ms, then it's up to you whether to let the agents know and have a chance at your ms, otherwise, just rescind it.
Anne asked, should I inform an agent who has had my partial for nine months of an offer from a small press? Yes, you can. They haven't out-right rejected you, so you can inform them. However, you should decide whether you really, really want that agent (notice the difference between "really" and "really, really"). If that agent was on your list for the sake of being on your list, then maybe following up isn't worth it. If you think that agent is the cat's meow, then you have nothing to lose.