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.

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