Just like the guys have said, prime the turbo first with fluid manually.
If you're running a to4 based turbo with a removeable oil feed line, take the efi fuse out and put the line in a cup with a buddy cranking the car.
When you see oil come out of the feed line stop cranking and install the feed line on the turbo.
Again, crank the engine over. Whitness that the compressor blades are indeed moving.
Install the efi fuse and start the car.
Let it IDLE for 5 minutes or so.
Turn the car off, and pull the intake hose and inspect the turbo.
If all apears normal (no shaft play) you are good to go.
The most common problem that I see with rebuilding turbos for people is not priming the turbo system correctly and or having OBSTRUCTIONS IN THE OIL FEED LINE.