How did you hook it up? Basically, you want to test all the post-turbo hoses/connections from compressor out to throttle body. Sorry for simple explanation, but you want to disconnect the hose from turbo compressor out and place the thingy in, then disconnect the hose to the throttle body and plug it and test.
Then once all the post-turbo hose/connections are tested and all leaks are fixed, remove the test thingy and the plug and put the hoses back on the throttlebody and compressor and tighten them up properly, because they are the only two places you can have an air leak now (not inlcuding pre-turbo piping/connections).
Here is a nice youtube vid showing how to make the test thingy and test for leaks: