You can put a sump on any size tank. I personally recommend sumps, because they hide your equipment and are really easy to maintain. You also have more room for filtration, and increase your water volume.
If you can order your tank from a live fish store, get one with an internal overflow box. It adds a little to the total cost of the tank, but it's well worth it to have an internal overflow box - less worries. You can use an external overflow box if you have already bought the tank. External overflow boxes made by Eshopps are just as good, if not better than any CPR brand I've ever used.
The lighting and skimmer and other filtration devices all depends on what your goals are. Are you wanting to set up a soft coral and LPS reef tank? Are you doing a fish only with live rock system with no dreams to have a reef tank? Are you wanting an SPS dominated reef tank? There are too many options left open... and there's too much information to type up in one thread with such an open ended question.
Go ahead and check out the new hobbyist section of the forum, including the threads about cycling and the 101 tips for new hobbyists. "The Conscientious Marine Aquarist" by Bob Fenner is perhaps one of the most recommended books. You should also get a couple of books on marine fishes and marine invertebrates. As you know, some fish are agressive, others are peaceful. Some fish are reef safe, others are not. It's the same with inverts. Not all fish are compatible with each other. You'll have to research every purchase before you buy.
In a 40g 36" wide tank, you won't be able to have any tangs. Mainly limited to small fish like blennies, gobies, clownfish, and a few other species. You just gotta start readin' and researching as much as you can. I'm here to help. You can PM me if you have any questions, and my e-mail is where the location should be listed.
Hope this helps.