Corals are living creatures. "Live Rock" is only live in the sense that it has bacteria colonies established on it. These bacteria colonies process ammonia and help to keep your tank clean. As the bacteria colonies propagate, the live rock also starts growing algae and living things that form your ecosystem.
When you take a coral out of the bag, it's living. If you throw (the right type of) rock in an established tank that has cycled properly, eventually it will seed itself with bacteria and become live. Live rock is a good thing for your tank. You really want to add the live rock (as long as it's cured) and let your tank establish itself before you add any corals.