Try to install NSIS, available here:
http://nsis.sourceforge.net/Main_Page
I believe you should have a MakeNSIS program installed on your start menu when this is installed, it will then ask for the *.nsis file you've created.
If running it from the command line, you probably need to find the proper directory where makensis is installed. I have no idea where this is on Windows, as I'm primarily a Linux user. In Fedora you can install NSIS via 'yum install mingw32-nsis', then you just run makensis from the command line to create a Windows installer. This is how I'm using it.