Updated info here: https://github.com/pure-data/pure-data/blob/master/msw/build-nsi.sh
On Windows/Msys2 you should install the Nsis package:
# 32 bit
pacman -S mingw-w64-i686-nsis
# 64 bit
pacman -S mingw-w64-x86_64-nsis
Outdated content from around 2011:
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get the Pd-extended source tarball or see GettingPdSource for the auto-build source (rsync is easiest)
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set up your MinGW build environment by following these instructions: WindowsMinGW
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in pd-extended/packages/win32_inno, run: make install
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in pd-extended/packages/win32_inno, run: make package
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Launch Inno Setup by double-clicking packages/win32_inno/pd-inno.iss if it didn't already launch.
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compile the Pd installer using the compile button, F9, or the menu option in Inno Setup.