By creating an nsi script and compiling it with makensisw.
Edit: Sorry for the wisecrack response, but your question is extremely inspecific and therefore cannot be answered. To learn NSIS, you can start by examining NSIS\Examples\Example1.nsi and Example2.nsi. You'll need to learn what ever command does and why they are used, you can use the command reference for this: http://nsis.sourceforge.net/Docs/Chapter4.html
Once you understand those two examples, you'll be well underway to creating your own installer.