Check out the Java Collection Tutorial. That will introduce you to the Java collection idioms, the generics support, and what's available (briefly, Lists, Sets and Maps - it's not clear how you want to store this data).
Without any further info, and in the most trivial scenario, you may want something like:
List<IMyInterface> list = new ArrayList<IMyInterface>();
// populate and then iterate...
list.add(new MyObject());
for (IMyInterface o : list) {
// do something...
}
(ignoring thread-safety issues)
Once you're au fait with the standard collections, it's worth looking at more advanced options like Google Collections and Apache Commons Collections. These both offer more powerful collections and tools for iteration/manipulation.
Note (finally) that Vector and the like are advertised as being thread-safe. That (of course) only applies per-method-call. A collection inspection/addition operation will not be thread-safe natively and will require some extra synchronisation surround multiple operations.