Regarding the equipment, they'll send a return equipment kit (box) to send back the modem, power pack and radio from the dish. It's pre-paid. They send the equipment return kit out when the service is cancelled.
The ETF is a little more complicated. It's $400 for the first 90 days, then $15 less per month thereafter. So, say you've had it for 14 months. It would be $400 - $165 (11 months x $15), which would be $235.
Regarding the actual cancellation, they usually turn the service off at the end of the current billing month, as you've already paid for the entire month. However, if you request an immediate cancellation they will do so and refund you the prorated amount for the part of the billing month that you haven't yet used. Any data tokens you have purchased and have not used, however, are not refundable.
Here's the legal info regarding the Early Termination Fee and equipment return policy. http://legal.hughesnet.com/ServiceTermsAndConditions-current.cfm
Hope this helps.