Put the substrate, water, and live rock in your tank first. Your tank may be a bit cloudy for a few days, but this is normal. Then, once you have the water in the tank, start running the filter, but leave off the protein skimmer. Following the addition of the filter, your tank will begin cycling, and depending on what you are using to cycle your tank, it may cycle for 4-8 weeks. Check your water parameters weekly to see where your ammonia, nitrate, nitrites, and pH are. No fish can into your tank until both your ammonia and nitrites are at 0, your pH is at 8.0-8.3, and the nitrates have begun to form. Once your tank is done cycling, then start running the protein skimmer.
Good luck, and feel free to ask any questions that you would like!