From Ren'Py Visual Novel Engine

Building a Windows Installer using NSIS

To build a Windows installer using NSIS, please perform the following steps:

1. Download the latest version of NSIS from its web site, and install it.
2. Create README.txt and LICENSE.txt files for your game, and place them in your game's base directory. (The directory containing the game/ directory.)
3. Build the distributions using the Ren'Py Launcher, and then unzip the windows distribution.
4. Download Media:installer.nsi, and place it in the unzipped windows directory. (The directory containing yourgame.exe.
5. Edit installer.nsi, changing values as appropriate. You'll certainly want to change the EXE, INSTALLER_EXE, PRODUCT_NAME, PRODUCT_VERSION, PRODUCT_WEBSITE, and PRODUCT_PUBLISHER lines.
6. Right-click on installer.nsi, and pick "Compile NSIS Script".
7. NSIS will run, and assuming there are no errors, produce the installer. Be sure to test it before releasing.