The overflow is there so that the tank doesn't overflow. When the water level gets high enough the water overflows into the overflow and then through pipes flows into the sump. For example, if you used two pumps, one to suck water out of the tank and into the sump, and another to return it, and one of the pumps failed, you'd have either an overflowed tank (and very wet floor) or an overflowed sump (and a tank sucked completely dry). Since an overflow uses no electrical components, it will keep delivering water into your sump unless the pump shuts off, at which point it will only put water into the sump until the water level gets low enough so that water can't overflow into the overflow anymore. Does that make sense? That's why the walls of the overflow are so close to the top of the tank. In case the pump taking water from the sump and into the tank fails, the tank won't completely drain onto your floor, it will only drain until the water level falls below the top of the overflow "wall".
I built my sump out of PVC, tupperware, and a pump I bought at Petco. Total cost was less than $200. In order to have an effective Wet/Dry you simply need enough mechanical media to filter out all the gunk, an efficient way to make water trickle, and enough biomedia to handle the ammonia and nitrites.
My set up is one big tupperware box and two smaller ones (too bad my camera is broken! this would be so much easier if I could just show you!). There is the big tupperware, and stacked inside are two smaller tuppers. The smaller tuppers had holes drilled at the corners where PVC would go in and make little legs. Then, one little tupper would stand inside the other little tupper, and those two together would stand inside the big tupper. The first little tupper has a bunch of holes cut into the bottom so that the water can trickle down and be aerated effectively. This tupper is filled with polyester fill I bought at Wal Mart for $3. VERY effective.
So the water is mechanically filtered by the polyester, and it trickles through the holes cut at the bottom and into the second little tupper, which is filled with scrubbies. The water rains down on the scrubbies, which serve as biological media, and the fact that it's trickling greatly aerates the bacteria, greatly aiding them in cellular respiration.
The second little tupper, with the scrubbies in it, simply has slots cut into the sides at the bottom to let the water fall into the big tupper. The water collects in the big tupper, where I have the pump submerged. The pump is siliconed onto a big black rubber pipe that then pumps clean water into the tank on the side opposite of the overflows. I'm hoping that that way the water is continuously forced from one side of the tank to the other, increasing filtering efficiency.
A sump doesn't have to be pretty, it just has to get the job done, right? And it's actually a lot of fun (if you're a fish nerd like me

) to actually build your own and watch it's success. My sump has been running for 5 months now and my Pacu's water
(yes, a Pacu, an evil, pooping, eating machine) is crystal clear.
Good luck building your sump, and you can always ask more questions here if you get stuck. =)