Yes, the system does come with a Rio pump for the protein skimmer, if you want to save yourself some trouble from the beginning, I suggest you don't use the Rio pump they provide b/c sooner rather then later it will stop functioning the way it should.
What type of pump depends on what size wet/dry you purchased.
I have the Aqua Clear 150 Pro Series, I use a Mag Drive 3, it works great. But you may need a stronger one or a weaker one depending on which model you get. Also, if you haven't put together the system yet, one thing to remember is that you have to becareful while putting the PVC's & washers in, b/c it WILL leak if you don't do it just right.