The NSIS (Nullsoft Scriptable Install System) is used to generate a wireshark-setup-<version>.exe from all the files needed to be installed, including all required DLL's and such.

To install it, simply download the latest released version (currently: 2.28) from http://nsis.sourceforge.net and start the downloaded installer. You will need NSIS version 2 final or higher.

You will find more instructions in Section 3.12.3, “Win32: NSIS .exe installer” on how to use the NSIS tool.