So you fired up a new engine with nothing there -- well, I can certainly see how oil went everywhere. If you had primed the oil system by engaging the oil pump through the distributor hole (standard procedure for a new start) you would have discovered this in a much more controllable fashion. Although I'm a bit amazed that anyone could actually overlook that open oil system port on a new engine start up.
Oil pressure switch (for idiot light)/sender (for gauge) screws in there. You should have wiring in the general vicinity that's not hooked to anything -- that might have been a clue that something was missing...