I agree with mdaniel, your live rock is cycling, which is natural and necessary, but really best done before you add fish. If your local fish store will hold your fish for you for a few weeks, or take them back, that would be the best plan for success. Otherwise you can keep testing your water and changing some out whenever the ammonia level rises to 0.25 ppm
. If this is an established tank other than some new live rock, you can take the rock out and cycle it in a bucket of saltwater with just an air stone. If you have cool worms and things you want to save on the rock, keep of the water changes in that bucket, but if you just want coraline on it, you can let the ammonia get up to 4 ppm
for a faster cycle.
The lighting needed for live rock depends on what is growing on it. Sponges and worms don't need any special lighting, they just need the right food. Most corals however, need specialized lighting, like T5 florescents or Metal Halides.
You need to tell us the size of the tank before we can suggest tank mates. An anemone is a rather difficult critter to keep alive, you should wait until the tank is at least 6 months old, preferably a year. Clown fish will host almost anything, including filters and rocks. You might try one of the easier soft corals if you are looking for a more natural looking host for your clown fish.