not to be a smart-ass, but i consider the stuff coming out your exhaust manifold/header to be air. okay, maybe its technically N2, CO2, H2O, NOx, carbon monoxide, and hydrocarbons, but its a lot easier for me to just call it air. and i second that site to anyone who wants to learn about how this stuff works. howstuffworks.com has tons of excellent write-ups on how automotive technologies function.
BlzKrazy, here's a list of where and how to set up a $700 turbo kit. don't buy a kit. do the research and fabrication yourself. although you gotta be careful what you buy and it probably wont be as easy or reliable as just buying a kit.
(all prices are approximations, they'll run you +/- a little)
T-3, 14b, or T25 turbo - $100 from a junkyard
Tial wastegate- $150 ebay
exhaust manifold- HF (VX or CX) manifold modified to fit turbo (see
http://www.homemadeturbo.com/tech_projects/HF_manifold/index.html) $30 or so
fmic- $200, ebay
bov- $100, ebay
fuel management- FMU- $80, ebay
intercooler piping- $50, local muffler shop
boost gauge- $25 ebay
anyway thats the most of it, i can't think of anything else off the top of my head im sure im forgetting something, but all that comes out to $735.