First of all make sure you have installed NSIS 2 and not NSIS 1. It's also recommended you upgrade to latest CVS version of NSIS 2 (see
http://nsis.sourceforge.net/site/Development.4.0.html) since there are a lot of fixes in it.
After you made sure you have NSIS 2 (a full installation to make sure you didn't unselect MUI) go to Examples\Modern UI for examples and read Contrib\Modern UI\Readme.html (also accessible through the NSIS documentation) for information.
MakeNSIS Project Workspace is a Microsoft Visual C++ file. To use it you must have MSVC or a another program that's capable of reading/editing it. It's only needed if you wish to change and/or compile the source code of NSIS.