CI: Need to install NSIS on Windows (#9149)

Co-authored-by: copilot-swe-agent[bot] <198982749+Copilot@users.noreply.github.com>
Co-authored-by: seisman <3974108+seisman@users.noreply.github.com>
Co-authored-by: Dongdong Tian <seisman.info@gmail.com>

Author: Copilot

ci/install-dependencies-windows.sh

@@ -45,6 +45,8 @@ fi
 # we need the GNU tar for packaging
 if [ "$PACKAGE" = "true" ]; then
     echo 'C:\Program Files\Git\usr\bin\' >> $GITHUB_PATH
+    # Install NSIS for building Windows installer
+    choco install nsis --no-progress
 fi
 
 # install more packages using conda