I have a 98 Nissan Sentra GXE and recently purchased a set of 17" chrome wheels for it. Since I got them the steering wheel has been shaking and I've had lots of vibration problems after about 40 mph. The thing that confuses me is that I will make a turn and the vibrations will stop, then I will make another turn and they will start again. The place I bought them from has re-balanced them a number of times and even tried a different set of tires and nothing worked. The rims are Mondera Spyder's and the tire size is 205/40/17. Someone please explain to me what the problem is.

I can almost say that one of the rims are bent, but the naked eye can not see it. Get the rims replaced and the problem should go away.

Get you tourqe checked on your lugs and check also have them check the wheel stud spacing and make sure it matches your rims.
Also there are 2 difrent typs of lugs that fit difrent rims there's a v noch type that looks like a v were the lug comes in contact with the rim and a flat nut that's flat on the rim
You can tell these apart by looking at your rim it the lug holes are concaved like a cone than you need the v noch type