What is all this talk about a SUMP?
A sump is good for multiple reasons.
1. The sump adds water capacity to your system. We all know the more water in your system the more stable the water quality. (As a general rule)
2. Provides a place to put unsightly equipment like skimmers and heaters.
3. Allows for easer water changes. If you size your sump to a point where when its active the actual amount of water you have in your sump is equal to the size of your normal water changes then you just empty your sump and then put water back in the sump to your water line and "POOF" water change is complete. (You will have to shut off the pumps in the sump prior to this)
4. Easy way to keep your tanks water level full all the time. As water evaporates the water level in the sump goes down not the water level in your tank. Then just add replacement water to your sump and thus less chance that your tank critters will realize that freshwater was just added to the system.
One of the cheapest sumps is a plastic tub of some sort. If your tank is not "Reef ready" = drilled then you will need to fashion an overflow. These can be made like Kev made his or they can be purchased. You then plumb the overflow to your sump and then put a return pump in your sump and plumb it back up to your tank.
Remember when sizing your pump to account for the effect of gravity on the water as it pumps up. Measure the height that the pump has to push the water. This is your "Head Height". Find a pump that pushes the amount of water you want to circulate at the correct head height.
The overflow uses a siphon to pull the water out of the tank and down the plumbing into the sump. Hang on style overflows use what is called a "U" or "J" tube. This is because of the shape. The tank side of the overflow has "fingers" that strain the water (very coarse items only), these fingers also are adjustable so you can set the water level you want the tank to maintain. Once the siphon is created the water will be pulled up and over the side of the tank via the "U/J" tube. It will then flow down the plumbing into your sump. Your sump pump then pumps water back up into the tank.
In theory the pump is consistently trying to overflow the tank while the overflow is trying to drain the tank so assuming your overflow can handle equal to greater capacity than the pump can pump you will have equilibrium.
When sizing your sump do not size it just large enough to hold the additional water capacity. Make sure the sump can also hold any water that might flow back down the plumbing when you turn your pumps off. The siphon will not break if the overflow is designed correctly. You can limit the amount of back flow by putting a ball valve in the return line but these have been known to fail.
Hope that helps your understanding.