Most everything you just want to rinse in tap water and put in the tank. Rinsing things gets all the nasties off of them that may cloud your water...even things that you buy in a bag for your tank (like gravel etc)
Rocks...most rocks are OK for your tank, but not all. I'd be really hesitant to just pick them up out of the yard and use them. Think of all the things that could be on them...have you ever sprayed your yard with bug killer or weed killer? Have you ever given the dog a bath and soap could have gotten on the rock somehow? If you're looking for cheap rock, try some LFS have rocks cheap (not chain stores like Petco or Petsmart, they usually just have the plastic look-a-like rocks) or you can try a garden place.
IF you pick things up off the ground...I'd be sure to scrub the heck out of them maybe with a new toothbrush or just your hands, maybe soak them in a little bit of bleach mixed with water, then scrub some more and rinse with heavily dechlorinated water. You dont want to use any rocks that are like limestone, that fall apart real easy because they'll alter the chemistry in your tank and thats not good for the fish.