Awww. Turbo upgrades are fun though. The open/close thingy is the wastegate actuator.

 

Check the wastegate flapper and the opening in the exhaust housing for chips by running your finger around the edges. If it's been loose for a while there may be damage to either or both parts. If damaged, you will need to repalce the exhaust side or get a new turbo to resolve this problem.

To set the actuator, hold the flapper closed tight with one hand and adjust the nut closest to the actuator so that it is tight against flapper's operating arm. Then tighten the other nut while holding the nut the nut you just set (the one closest to the actuator). I would suggest that you use two nuts on each side of the flapper arm to keep them from coming loose again or use locktite. Make sure you only use your hand to hold the wastegate flapper closed because with your hand you can feel if the nut closest to the actuator is pushing against the flapper's arm (you don't want it pushing against the arm). If you use a clamp or something else, you risk setting the bottom nut incorrectly which could result in you having to tear everything apart again to fix it.

There is a more precise way to set the actuator. You need to measure the distance from the actuator to the first nut. I think the measurements and steps to follow are posted on Audiworld.