Building NSIS under Linux
I thought I'd post my build process, since I didn't see
any explicit step-by-step instructions.

Checked out CVS tree on linux box (into a folder that was shareable
for a Windows box)

Converted exehead/*.dsp files to DOS-style line endings (otherwise,
Visual Studio won't recognize them)

Opened each .dsp file in Visual Studio and built. Got errors regarding
bin2h because Visual Studio's command line stuff doesn't support UNC paths;
mapped the UNC path to a drive letter, reopened project, and built all; got
no errors. This time the exehead_*.h files were generated.

Edited exehead/Makefile to add "i386-mingw32-" to POSSIBLE_CROSS_PREFIXES
(the RH RPMs I used to install mingw put their gcc in
/usr/local/bin/i386-mingw32-gcc). I don't think this is strictly necessary,
since I built the headers on the Windows box anyway.

Edited exehead/Makefile to add USE_PRECOMPILED_EXEHEADS=1

Ran make (in the Source directory) on Linux box.