New with NSIS
 

Before i start to make and learn how to make a installer can you lets sat have a installer that installs your app than that becomes the starting point? Here is what the installer needs to do.
-Install files first time
-check if files need to be updated
-if they do download them
-start game.exe

can you start a exe from NSIS than close NSIS?

You can start an exe using the Exec command. To quit NSIS, simply call quit.

http://nsis.sourceforge.net/Docs/Chapter4.html#4.9.1.2
http://nsis.sourceforge.net/Docs/Chapter4.html#4.9.4.17

(You can let NSIS download stuff using one of the download plugins.)