Why do all my heroes have the same attack?
Your heroes all start out equipped with nothing, and they use their default weapon for attacks
If you have not chosen a default weapon for them, they will use the first item in your item list as a default weapon. If this item doesn't happen to be a weapon, they will just end up using the first attack in the attack editor. This is usually not what you want them to use.
So, how do you make weapons? A weapon is simple. Its just an attack and an item linked together. First, make an attack. For example, a slash as would be appropriate for a sword. (if you don't know how to make an attack, read the HOWTO.) Now, go into Edit Items, and make a new item named "Sword". Set your "Slash" attack as the item's When used as a Weapon setting. Then change the Equippable As from NEVER EQUIPPED to Weapon. Last, pick Who Can Equip? to decide what heroes can equip this item. (you may also want to set Stat Bonuses and Bitmask)
Now when you equip a hero with the sword item, they will be able to use the Slash attack in battle.