Unfortunatley, you can't turn buildings. If you really want to turn a building, you must go into the object editor, and change the value called "Stats - is a building" to false, and then turn it on the map like you would a normal unit.
Which, if you don't know, holding down control and then clicking where you want a unit to face, with that unit selected.
If you create the buildings with triggers, you can rotate them while you're creating them.
Otherwise, make the building a unit, rotate it, then make it a building again.
da1nONLYEd's right, you can't rotate a building, and you can go into the Object Editor, remove "Is a Building" to then rotate it, but as long as you don't need it to be built in the game, you can go back into the Object Editor after you've rotated it and re-make it into a building so everything works in the game.
The problem is that you can't rotate buildings that are built... I found a perfect Warcraft II "Altar of Storms" model that's facing the entirely wrong way... :banghead:
I'm on a page about incorrect corrections, and spent the better part of like two hours trying to get someone to understand that -5^2 = -25, not 25, and then that post had comments get reposted because that group is self sustaining, and that person was in turn trying to explain what I just explained to them. And I'm taking that as a victory