This website lists seven exercises that can be performed with common household items (a soup can, a hammer) and have been proven (by me) to give relief. They are easy to do and really make a difference. I also found a video that shows three of the exercises that were key.
If you suffer from tennis elbow, I hope you'll take time to check out these articles and try the exercises. They worked for me. It can take a while to recover fully. Once you do, you can keep tennis elbow from coming back by squeezing a tennis ball or a squeezable exercise ball.