You only need one reference. If you are going to use an external reference, and I strongly recommend you do, then connect it between VREF+ and VREF-. Actually VREF- is ground, but make sure you connect it to ground right at the ground pin of your reference, to eliminate any voltage drops across traces in the ground.
Make sure you set up the ADC registers to use the external reference.
The comparison is done completely in S/W:
Measure one channel.
Compare the result (a number) with your upper and lower limit (again numbers). Decide what you do in each case. The comparison is usualy done by subtracting one number from the other and checking the carry bit if it is set or not.
That tells you if the result of the subtraction was negative or positive, which means the input you were looking at was either below or above the threshold. Jump to a subroutine or other part of the code based on the result of the comparison, or do whatever is required.
Continue for the other channels in the same manner.
It is easier to do the subtraction on only 8 bits, if the requirements allow lower resolution. If possible, set up the ADC to left-justify the result.