Joe,
A marine tank is very different from any of your freshwater experiences and finding a book or searching the net for an explanation of a marine cycle is something you need to do before even thinking about the hardware and tank. Below is a simple introduction that does not cover caveats and details but may help with a few terms and basics as you read:
Simplistically, waste product becomes ammonia (deadly) and is not controllable through water change in anything but the smallest, daily changed system. Ammonia breaks down to nitrite (deadly but slightly less so than ammonia) through a biological process. Nitrite brakes down again into nitrate (not quite harmless but considered so in low concentrations and we live with a certain amount of it - ppm depending on what lives in the the tank). The conversion from ammonia->nitrite->nitrate is called biological filtration (vs mechanical filtration) and estabilshing the bacteria to quickly make the conversion so that you cannot detect the waste ammonia or nitrites is what is referred to as cycling the tank. It requires a build up of a sustainable amount of bacteria in some form of substrate (rock, gravel, sand, trickle filter, canister, etc). We still want to minimize the nitrate (never a "needed" chemical but its absence suggests the biological filter is not established) and other odor and clarity degrading elements in the water so we filter the water, usually through carbon (chemical filtration) often combined with a fine material material filter sock to remove larger particulates, and do large water changes to keep the system in balance. During a water change, it is also a good time to stir up the bottom substrate and remove settled waste to export some of the nitrate.
The protein skimmer (mechanical) removes another form of pollutants, not addressed by biological filtration by forcing the protein to bubble up to the surface and become trapped in the device.
How an aquarist sets up and maintains this "cycle" varys by personal choice and hardware constraints. Live rock is alive with bacteria, not the visable growth (visable growth can be as sign that it is alive internally but the growth has nothing to do with the term or process). Over the last 20 years or so we have found that rock sitting in the ocean for a couple of years contains and sustains the bacteria that converts ammonia->nitrite->nitrate better than man-made attempts using just canister or trickle filter style biological filtration. However, many people will use a combination. Setting up your filteration system requires some study and decision making before you decide on hardware.