Create the fluid and solid domains in the usual way. If you are solving a rotating problem, your fluid domain should be setup as a rotating domain while the solid domain must be stationary.
Do not create any wall boundary conditions on these surfaces. Create fluid-solid domain interfaces in the usual way. Once you have create the domain interface, you will see that CFX-Pre has automatically created some boundary conditions for the fluid and the solid side. You can then edit the fluid side boundary condition and set a wall velocity, or a counter rotating wall, or leave the walls as stationary as required. A stationary wall is always stationary with respect the the local domain.