This is all completely natural, and we all go through this in the beginning stages. This type of algae is called "Diatoms" (google it if you'd like) They are very ugly and are quite annoying. The good news is, if your using RO/DI water and everything is on track, the diatoms will go away. However, if there are phosphates and nitrates in the tank, it will stick around. After your cycle, you should add some snails, they will take care of your diatoms.
Also, this should probably be posted in the Reef forum, you'll get more replies
No worries, this is all natural. Just let the cycle take its course, and watch all the nasties grow !
*edit*: Here's the first link I seen on google. Check it out:
http://saltaquarium.about.com/cs/alg...a/aa091100.htm