Cloudy Tank

I just set up a tank a Saturday morning. I bought live sand and regular sand from the fish place. I also bought the salt water. I came home, placed all the sand in the tank. Then added my water. The lady said I could use coal filters (am planning to get biowheels, but I don't have yet.) My water still looks like skim milk. I have read to wait, and I don't mind, but I am getting a little worried that it still looks the same.... no different. Should I turn off the filter until it clears up? Did I do something wrong?