Banks and ATMs are spread around town. The Lao Development Bank, 200m southwest of the market on the central road, changes Thai baht, euros, US dollars and more, and has a Western Union branch.
The post office is 350m southwest of Lao Development Bank.
The Sekong Provincial Tourism Office is 700m west of the market on the central road. Don't expect much help here. Requests for guides are supposed to be submitted in writing two days before you wish to travel, though if you just show up they should be able to sort things out.