When I tried to practice tuning my wheels, I found my spokes turn with the nipples. I tried to drop some lubricant on on the nipples, but I had the bike for two years now and there are a lot of dust clog in it. So the lubricant doesn't help too much. What can I do in this situation?
When I build/maintain wheels, I specifically make an extra quarter-turn to the nipple and then quarter-turn backward to release the rotational tension. This was recommended by Sheldon Brown
Lubing the spoke can help, but if your spokes are rusted, you might as well replace them with the new ones.
A lot of this has to do with how the spokes were prepped when the wheel was built, as well as the material that the nipples are made out of. There are two primary materials that spoke nipples are made out of- brass and aluminum.
Brass is strong, cheap, easy to work with and doesn't have the same tendency to seize that aluminum does. Aluminum nipples are typically a tad bit more expensive, can be more temperamental when building or truing the wheel, and more attention needs to be paid to spoke preparation because aluminum nipples tend to seize to the spokes. The upside is that aluminum is lighter than brass so you can shave off some grams in terms of rotating weight.
For round spokes, you'd be surprised how far you can turn the nipple without damaging the spoke. For most wheels in decent shape, after a third of a turn or so, the spokes will usually break loose from the nipples with a distinct "ping!" sound and an obvious drop in resistance to being turned- this is especially true of aluminum nipples. Go much beyond a half a turn without movement and you're risking snapping the spoke or damaging the nipple. If the nipple doesn't want to let go, you can try a tiny bit of penetrating lubricant and let it sit for a while.
If you have flat/aero spokes you aren't afforded the same wiggle room in terms of what the spoke will tolerate in terms of torquing a seized nipple free. As mentioned in the comments there are tools made specifically for holding aero spokes in place while tensioning them.
The best to do is to disassemble everything, specially remove the nipples from the spokes and rim, and maybe remove the spokes from the hub for best cleaning.
If you are exercising wheel maintenance, then this would be a good exercise, and lubing the spoke threads is what you need so that spokes stop turning along.
Now if your nipples are so rusted that you just can't turn the nipples in anyway, then you should CUT the spokes out with a wire-cutter and replace them for new ones, before you need to true the wheel and discover you can't.
Once more, the "secret" is to lube the threads, not the nipple body (where it touches the rim). I guess any lube would do, but only a very small amount is needed.
Hope this helps!
Give it all a good clean then try some of this this