From NSIS Wiki
When building NSIS on Windows,
zlib1.dll must be available along with the library and header files.
The official zlib website doesn't offer a working build of the latest version. Therefore, a prepared package of 1.2.7 is attached here.
Zlib-1.2.7-win32-x86.zip (347 KB)
Extract the package and set the
ZLIB_W32 environment variable to the extracted directory. Read more in Building NSIS.