Hi tcoop, and welcome to fishlore,
A marine tank will be a challenge if it is your first tank.
And as the tank has not been cycled you will have issues with fish loss/death due to Ammonia, Nitrite and Nitrate.
As you say you dont know the Nitrogen cycle in the aquarium info, I have a link for you that will explane it for you.
http://www.fishlore.com/NitrogenCycle.htm.
IMO, You should return the fish ASAP, If you can not return them, then start doing water changes, do a 50% change now to reduce the readings.
Do you have any Live Rock in the tank? ( Im hoping you have 70-100lb )