They're pretty easy to set up, even easier if you buy a tank with that purporse in mind. If you don't yet have a tank, buy a reef-ready one that has some sort of corner overflow and bulkhead fittings in the bottom. Then you'll need a cabinet with a hole drilled in the top for the plumbing for the tank to go through. As for the sump itself, any smaller tank will do. As for size, that really depends on how big the display tank is and how much room you have in the cabinet. Then all you need is a pump and plumbing of some sort.
Water from the main tank goes into the overflow, then through the fitting at the bottom. A tube carries water from the fitting and dumps it into the sump. The pump then sends water back up through another tube, through the bulkhead at the bottom, and back into the main tank. It makes more sense when you see all the parts, and it's actually pretty easy to set up.
If you already have a tank and want to add a sump, you'll need some sort of hang on overflow box. After that, the setup is pretty much the same.
The biggest advantage to using a sump is that you can hide all your equipment down in the cabinet, like your heater and skimmer, which also allows you to place the tank much closer to a wall. A sump is also a really good place to set up a refugium, and it increases your total water volume. If you go to your LFS and tell them you want to set up a reef-ready tank with a sump, they should be able to help you figure out everything you need.