If your tank isnt drilled you will need an overflow box to get water down to the sump, and then you will need a pump to get the water back up to the display tank. The sump can be made from a plastic tub, it doesnt need to be another glass tank. Most people put baffles in the sump to separate the equipment from the refuge area. The refuge is a place where macro algae are allowed to grow, instead of in your display tank. The macro algae will remove unwanted nitrates from the water column. It also provides a place for pods to live, grow and reproduce. They will then be washed out to the main tank where they can be eaten by the fish. Many people like to put their heaters in the sump so you dont see them and their protein skimmer. You can buy protein skimmers that hang off the back, but they are kinda ugly.
A protein skimmer removes particles from the water column that would otherwise rot and release chemicals back into the water that are toxic to inverts and fuel for ugly algae. It work by bubbling out the particles and collecting them in a cup which you can just rinse out. A really great protein skimmer are the reef octopus skimmers, but no matter what brand you get, make sure you get one rated for twice your water volume. Also be wary of cheap skimmers, they really are you get what you pay for item.
And sadly you cant just change the bulbs. You want to aim for at least 3 watts per gallon and more if you eventually want to keep clams or nems. A great light that would allow you to keep anything you want is this light:
Aquarium Lighting for Reef Systems: Current Nova Extreme Pro Saltwater T-5 Fixtures
And distilled water works just fine, but it will in the long run be more costly and it is a pain in the ass to haul water. You can make your own RO/DI water. A unit costs $100-$150. You want to get one that is at least 4 stages. Many lfs also sell RO/DI water. You should buy a TDS meter (on ebay around $10, make sure to get the calibrating oil) to make sure either your filters are still working and the lfs has changed their filters recently. You should have a reading of 10 or less. Higher means its time to change the filter.
Nope, no need to buy live sand, but dont get sand box sand either. Who knows what else is there? Instead you can get dry aragonite sand from the LFS, much cheaper.
Live rock simply means that it has a population of bacteria on it that can process fish waste into less toxic chemicals. So the bacteria will live through the cycle, and actually cycling a tank means you are actually growing the bacteria up so you have enough to handle your first fish. (Side note: growing up the bacteria population is why you have to wait at least 3 weeks between adding fish, the bacteria need to grow to handle the new waste level before you add more to it) But the odds are pretty good that some of the other micro fauna on the few lbs of live rock you buy will also make it. You can also add dry rock any time you want, but speaking from experience, its much easier to have all the rocks you want in there in the beginning.
Please keep asking away, an educated reefer is a successful reefer
:D