I am starting a 250W MH setup on my 37. Here is what you will need:
BALLAST-several brands make them. IceCap is good as well as others but I can't remember the names. Remember the ballast has to be watt specific.
BASES-for the bulbs. You need to decide whether you want the normal mogul based bulbs or the double ended HQI.
BULB-Again, decide what watt you want. I recommend 250W for a 30g. the tank isn't very deep and the 400W would generate too much heat to be a good choice.
REFLECTOR-Any light company on the net will sell them.
www.Hellolights.com does but I'm not sure how their prices compare. Make sure it is as close to the size you will need. They are a real pain in the A** to cut if you don't have the right equipment.
You will usually need some kind of rivet to attach the base to the reflector.
All of this is if you want to build your own. You can get a pre-made canopy like Nanos said but I find that they never have the right stuff that I want. But I just like being in control of things. Bad habit I guess. Anyway, good luck. If you want, you can e-mail me and I can send you pics as I am setting up my own system. E-mail's to the left
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