The NSIS (Nullsoft Scriptable Install System) is used to generate Wireshark-win32-2.5.1.exe from all the files needed to be installed, including all required DLLs, plugins, and supporting files.
To install it, download the latest released version from http://nsis.sourceforge.net. NSIS v3 is required. You can also install it using Chocolatey:
PS$> choco install nsis
You can find more instructions on using NSIS in Section 3.11.4, “Win32: NSIS .exe installer”.