Building NSIS from SVN
From NSIS Wiki
This page should cover all issues around building the NSIS distribution directly from its CVS source tree.
How to get the source files
How to setup the build environment
For compiling makensis and most plugins, you need to download the Microsoft Platform SDK and the Microsoft Visual C++ Express Edition. Of course, if you already own Visual Studio, you don't need to download the Express Edition.
For compiling the NSIS Menu, you need the wxWidgets Source package (2.8 and above).
For compiling the NSIS Documentation, you need the HTML Help workshop (already included in Windows XP, 2003 and Vista).
For running the SCons build system you need SCons (0.96.95 and above) installed, which requires Python (1.6 and above).