hey xaq,
in simple terms the cycle is the process of taking harmful things and turning it into less harmful things. it's kind of gross... but think of it this way. if you lived in a tank full of water and left all of your waste (poop and pee) in it... the water would get pretty nasty.
waste turns into ammonia which is highly toxic for fish, so bacterias grow that turn the ammonia into nitrite which is less harmful however still can kill your fish. and finally other bacterias grow that turn nitrite into nitrate, the least harmful. this is removed by doing your weekly water changes.
the nitrogen cycle in general takes from 2-6 weeks unless you bought a product called biospira. it is the ONLY one that can actually force your tank to cycle, unlike what all the other products claim. so don't listen to them.
just having the tank setup and running doesn't start the cycle since there are no fish producing waste, there is no ammonia, therefore the bacterias have no reason to grow. you can do some research on "fishless cycling" (on yahoo) for the best way to do it. this will allow you to cycle your tank without exposing live fish to the skin-burning ammonia.
good luck!
-brent