When setting up a new tank there are a number of things which you need to know to make sure that you don't get off on a bad foot, and possibly lose all of your new fish.
One of the most important things is known as 'cycling'. When you start a new tank there will be a so called 'nitrite peak' a few weeks after setup. Nitrite is poisonous to fish and can cause them to die. Hence it is very important that you carefully cycle your tank and won't insert any fish into the tank before it's properly running.
Here are a few links regarding tank-cycling. The first article explains the 'New Tank Syndrome' and the 'Nitrite Peak'. I strongly recommend to read this articles before you start with your tank.
Once your tank is cycled you may add cichlids. However, before you should make sure that your fish are compatible (e.g. diet-wise), aren't going to outgrow the tank and exceed the limit of the filtration.
Here's a great example in the gallery on how to build a new tank. This one is a big (530 gallons!) Malawi tank, but you can see how a professional tank is built.