Well about a month or two ago, i decided it would be a good idea to turbo a first gen explorer w/ a 4.0 so i bought a very similar turbo to the one you're looking at (that turbo is the right trim size etc for a stock 4.0 to make good boost starting around 2k by the way)
anyhow, i bought the turbo alone and fabbed up all the exhaust plumbing and everything for it. i even started doing a little build thread.. i'll put in a link if i can find it.
the result was, the turbo spooled right away, but as soon as the boost started (even at just 1psi), the engine leaned out really bad, ran horrible and lost power. so i learned i needed an FMU, possibly a modified ECU (not easy to find for a first gen X since not many people mod them) and larger injectors. of course i planned to have the transmission rebuilt and beefed up a bit to handle the added load as well (along with a larger transmission cooler etc) ... i also planned on rebuilding the engine with pistons from a later engine (say a 96) and the 91tm heads from the early 4.0, in order to lower my C.R. some so i could run more boost and not detonate.. oh and of course also run head studs and upgraded head gaskets... anyhow i'm just trying to give you a bit of an idea of what will be involved, it's not like something you can just plug together and it works, it's a bit complicated. and definitely not a project for a beginner.
i was in the process of figuring out how to tune it, when i stumbled onto a v6 from a mustang with a vortech supercharger on it... oh and an AOD from a bronco w/ transfer case... so i decided to swap out the stock explorer engine/trans and run the mustang/bronco combo, since they were in good working order, dont require expensive rebuild/modification, and it gets me out of having to figure out the fuel delivery problem under boost.
oh and here's a little video i took of the X driving around some with the turbo arrangement. this was the first day i got it running, just to test it out some. the sound is bad on the video but at least you can see some.
by the way, i dont think it's a bad idea... it's definitely not easy, and if you do it it will require a lot of determination, and probably will end up being quite expensive (expect to blow head gaskets etc)... but you'll learn a lot too. everybody told me it was a bad idea when i started as well... and maybe it was (since i never finished) but i would have kept working on it if i didn't get this other engine combo. i also had a bit of a problem with the turbo's bearing seals leaking oil into the exhaust (the smoke you will notice in the video) because of the angle i mounted the turbo at... oops.. well what can i say I'm a turbo amateur.