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Outdated content from around 2011:

1. get the Pd-extended source tarball or see GettingPdSource for the auto-build source (rsync is easiest)

2. set up your MinGW build environment by following these instructions: WindowsMinGW

3. in pd-extended/packages/win32_inno, run: make install

4. in pd-extended/packages/win32_inno, run: make package

5. Launch Inno Setup by double-clicking packages/win32_inno/pd-inno.iss if it didn't already launch.

6. compile the Pd installer using the compile button, F9, or the menu option in Inno Setup.