Hey Ajay, welcome to the forum.
Don't worry, I was in the same position just over a week ago, and I feel I know so much already! ;)
It's a lot simpler than it looks. When you look at sumps, they are very intimidating, but it's not too bad. I'm quite the novice so I'll try break down some of the things you're asking in the shortest and simplest way, but if you wish to know more, then the more experienced posters will gladly help you out.
Live rock - *Wiki quote* :
Dry rock is the same, except it inhibits absolutely no life. It contains no life forms living amongst it and has no coralline algae. Dry rock is usually quite a bit cheaper as it usually takes a while for it to become 'live rock' as it has to go through the process of growing coralline algae etc etc.
Protein Skimmer - A protein skimmer usually takes out the guck in the water that you may not usually see. Think about it like this, the little aerator's you have in a freshwater tank are rapidly bubbling into this cup and popping where it then releasing any dirt that's within the water into it. From there, it's just a simple process of when it's got a fair amount of rubbish in it, you just have to take the cup off and clean it. It's a very beneficial piece of kit if you're planning on having a big tank.
Sump - Think of a sump as a normal 10 gallon rectangle tank. In between that empty tank are two peices of acrylic separating the tank into three separate compartments. Depending on how yours is set up, in the first compartment, you may have your protein skimmer inside it, in the next one, your refugium may have some 'live rock' and your last compartment will be where your water shall be pumped back into the tank.
In Saltwater aquariums, it's not like the bio-mechanical filtration where sponges are used. Reason being because of the nitrates you build up - you don't want them in saltwater tanks. Your main source of filtration is your 'live rock'. That is your natural filtration system. The sump is simply the extra piece, which I like to call it, to assure you can get a protein skimmer running and add a few extra's which may supplement the tank.
My definition's of these are very novice like, but it may help you understand as we're probably near the same page, but the much more experienced posters can give you a much better idea of what all these things do.
If you do require some help, be sure to check out my thread I made. The guys there added some great advice for myself and I'm nearly on my way to getting my tank up and running.
https://www.livingreefs.com/complete-newbie-needs-way-start-t45507.html