Yep, your live rock is your filter and in your sump you would run a skimmer to further filtration. The sump is also where you can add other types of filtration like carbon, UV, filter socks, macro algae or whatever you feel like your particular conditions will require.
Search for marine aquarium filtration and you should find some great explanations of biological, chemical and mechanical filtration techniques/methodologies and why you may or may not want to use them.
A search for berlin style filtration may also help.