Inestrinh,
There are so many things that can contribute to Algal growth. The major culprit is always DOC (Dissolved Organic Compounds).
There are many ways to battle DOC. One is a protein skimmer, another way is the use of liverock and water changes. Reducing your bio-load is another way.
From what you have told me though, i have to say that I believe your tank is experiencing a natural algal cycle.
If your tank is only 3 weeks old, i scarcely doubt it had enough time to cycle through and allow your sand bed time to seed and begin to cycle as well.
Have you bought any books on Saltwater Systems? If you have not, i highly recommend buying a book and reading through it. There are several out there that are inexpensive and fully comprehensive.
"The New Marine Aquarium" by Michael Paletta is a good, basic beginners book.
If you have read any of the posts here on cycling your tank, you know that it takes time for your live rock to stop producing ammonia and Nitrites. You must wait for the water to clear of these compounds before you can begin to stock it with even one fish.
Are you skimming? How much water are you changing every week. I recommend at least a 15 - 20% water change weekly.
Skimming will greatly reduce the DOC in your water by pulling it out. Also, a refugium may also help by allowing a place for Macro Algae to grow and pull Nitrates out of the water which will starve the smaller less desireable algaes like hair algae and brown algae.
Please, before you add any more animals to the tank, please read about cycling and DOC and Nitrates, even if you decide not to take my advice and buy the book.
The first thing you need to do is do a HUGE water change. This will reduce your Nitrates and help to stop the Algae growth. Your Local Fish Store (LFS) should have tested for these, looks like they didn't. Obviously if you have algae covering everything, you have a Nitrate problem.Secondly, buy some basic test kits. Ammonia, PH, Nitrite to start with. Test these thigs daily for the first couple of weeks. You will probably notice the PH will fluctuate, but you should see your ammonia and nitrites steadily decrease.
Once your levels have balanced out abain, pick off, or cut off all the algae you can by hand. Then buy a some cleanup critters like blue-leg hermits. You can always take them out and give them back to the LFS if you dont want them later. Do not feed them. The only thing you should be adding to the tank is fresh water to top off, and a weekly water change.
More than anything... you MUST HAVE PATIENCE!
This is a slow process and it can take weeks to get your tank up and running.
Once the algae is gone, and you see no new algae growth you may start to add animals. But don't rush it. Add them one at a time and space everything out over weeks, or even months. Remember that every time you add an animal, you have just increased the bio-load. Test again for the first few days to see how your tank is reacting to the waste this animal produces. You may have to increase water changes if your live rock is not cycling the nutrients fast enough.
Remember, that the smaller your tank is, the more it is affected by the changes you make. Two clown fish would not be a noticeable difference in a 80 Gallon tank, but in a 10 gallon, they could turn your tanks water parameters upside down.
One more thing......Buy a Book! :lol:
There is even algae on the sand. 
