This article only applies if you imported a 1.4 project using any version up to and including 2.0.2 (basically, if you were on the GMS2 closed beta and made the jump from 1.4 to 2.0 really quickly). If you're using a current release, this won't apply to you. The article will be removed fairly soon, as it is obsolete.
First of all, you will notice the following error in your compiler output window:
Opening your Options > Windows > Installer tab, you'll see the values are still as 1.4 wanted them:
If this applies to you, then you will need to fix the project before you will be able to make an NSIS package.
The easiest way to do this is to open the project in explorer and copy in the required files and folders from the base project for the runtime you are using (I'm showing 126.96.36.199 here, but this is probably not the version you will use, so always use the runtime for the version you're actually building with.)
You can see how to do this in the following screens:
One thing to bear in mind is if you had customised your installer script and license file, then make sure you now copy in the originals from your 1.4 project and replace the ones you brought in from the runtime's base project (or, probably safer, make the same edits to the runtime's versions).
Once you have the files in place, you now need to fix the Game Options values. Either paste/type in the full path yourself or click the browse button next to the license and EULA fields in Game Options > Windows > Installer and locate the files we have now added.
You should now be able to create a Windows installer package just fine. Any issues, try cleaning your cache before building again.