I have seen several of these devices. I ended up purchasing a power board that does just this. It turns on and off a heap of AV gear when I turn my TV on and off. (I have one of
these -- although not purchased there.)
We've had questions like this previously. The problem is that, although the circuit can be pretty simple, building one yourself is probably not warranted unless you *really* can't get one locally, or you're doing it for a learning experience.
As always, I would urge that learning experiences are best kept some distance from mains voltages.
If you really want to make one, the simplest option is to place diodes in series with the load to get an approx 3V drop across them (so 4 diodes pointing each way) and place a solid state relay across them. Use the SSR to control the other loads. Just beware that at 10A, 30W would be dissipated in those diodes (possibly more) so it's not a great solution where the load draws a heavy current. If the SSR cannot be driven from AC (or if in doing so it turns the load on and off each half cycle) then you'll need to rectify and filter the voltage you get across those diodes.
davenn's suggestion is a good one if the controlling device has a power rail that can be easily tapped in to.
