You need a ballast to run HPS you can't just plug it into 120volts and expect it to work. To compare it to something familiar I'd say thing of a flourescent setup, you need a ballast to light the bulb.
You might want to go with a grow setup like one from HIDHUT with an electronic ballast for around $150 which includes an electronic ballast and reflector, everything plugs in nice and neat so you won't have any problems, you can also buy a setup with a magnetic ballast which are cheaper but will buzz eventually, depending on how you are on money or the tolerence for noise I'd go with electronic if possible.
The other alternative used by many people is to buy an HPS floodlight, that way everything is enclosed in the fixture itself. If you have adequate ventilation you shouldn't have a problem with heat depending on the size, if you do you could drill holes in the fixture and vent it or remove the ballast and place it outside the room. A floodlight will run you around $100 for a 400 watt one.
Those are your choices but you will definitely need a ballast and a socket made for the bulb.