Rinse out the brush with the same product used as a thinner. Example- water for water based or paint thinner (mineral spirits) for oil based finishes. With water based finishes this is as easy as using soap and warm water.
Oil base finishes and brushes require the use of paint thinner. Use a clean can or bucket and a small amount of paint thinner at a time. Rinse out the brush for a couple of minutes, spin the brush to remove the excess thinner, replace the old thinner with new and repeat until clean.