1. You shouldn't need a protein skimmer right now, usually that is just used to clean the water once fish and stuff have been introduced into the tank.
2. I've heard of adding raw shrimp. Some do, some don't. Some have had success with adding fish right away, and some haven't. Basically, if you want it to cycle quicker, get a cheap fish (damsel for example) and that will help cycle, and if he doesn't make it, too sad, but not a huge $$ loss.
3. The cloudiness will go away with time. The best thing with salt tanks is to be patient and not rush IMO
4. Just read, read, read. There are plenty of topics online on saltwater care. It will seem overwhelming, but you'll have plenty of time while the tank is cycling. When in doubt, go to your local pet store, and buy a marine book. That's how I started. My first book was marine aquariums. Very informative.
Lots of luck in your new hobby--the hardest thing is accepting your first loss, and keep in mind, you will have one, but that will also encourage the hunt for more information.