Have a look at the build thread for my car for inspiration mate:
http://www.cliosport.net/forum/showthread.php?599541-Soon-to-be-turboed
Basically if you want say 220bhp or so, you can do it with a low pressure conversion which will mean you dont need to open the engine up, you just bolt bits on the outside, fit new management, have it mapped and away you go.
If you want more power you need to drop the compression ratio to allow you to reliably run more boost.
To drop the compression you either need more space in the pistons (buy forged low comp pistons) or you need more space above the pistons. If you want to do it on the standard bottom end (like mine is) then you have 3 options for getting more space above the pistons:
Thicker head gasket (bit of a bodge, I would avoid)
Bolt on a 197 head (how mine is done)
Machine a 172 head to drop the CR (simplest reliable way as you can still run 172 inlet etc then)
In terms of the external parts, this should cover most of what you will need although Im sure Ive missed a few things typing it out quickly:
Bigger injectors (megane turbo are a straight fit so a popular choice)
Exhaust manifold (megane one fits) and new exhaust gasket
Turbo (mine is a focus RS, but megane or lots of others are options too)
Downpipe (any good exhaust fab place can do this)
Intercooler (mine is a focus ST one, or you can get a custom one)
Pipework for the air to go down from turbo to intercooler and intercooler to inlet
Air filter and pipework from filter to turbo
Oil feed and return for the turbo (and optionally water cooling pipework)
Either aftermarket ECU or a different map sensor for the standard ecu (I would strongly recommend aftermarket personally)
Mapping for the ECU you end up with
Wiring harness for the ECU if you do go aftermarket
Uprated fuel pump is a good idea
You will probably need a new (uprated if going high boost) clutch at some point soon after the conversion so do it before so its there ready
Suitable exhaust if you dont have one already (2.5" is a good size)
Dump valve would be advisable if going high boost (you can get recirc ones if you want to minimise the awful noises)
You could do it low pressure first to keep it simple and avoid opening the engine up, and then when you next need a cambelt doing anyway use that as the time to decompress it. Bear in mind that will mean paying for mapping twice though.