Generally a sump is just a smaller tank used to house a skimmer, refugium, heaters and any other equipment you want to keep out of the line of sight in the tank.
For instance, here's a blatantly stolen diagram of a sump with just about everything you could think of in it.
This one has a bit more than most people need or have. Also the first section on the left with the bubbled square in it (a sponge I believe) is where most people would put live rock. Either there or on the miracle mud in the refugium area.