The menu thing isn't included because it requires wxWidgets 2.8 to build.

To build nsis plugins you have to install the nsis-pluginapi package 
and follow the given below instructions.

If your package manager did not install the recommended package(s) of
nsis-pluginapi then you would need to manually install a cross compiler
targeting the win32 platform.

Ideally you should install the recommended package(s) which you could
query with the following command:
dpkg-query -W -f'${Recommends}\n' nsis-pluginapi

Nevertheless you are free to take your favorite cross compiler targeting
the win32 platform as long as it can handle the application binary
interface (ABI) used by the nsis plugin api library. In that case you
need to explicitly specify the include and library path as mentioned
below. The plugin api library is available in the following three variants:
x86-ansi, x86-unicode and amd64-unicode. The plugin api library has to match
with the corresponding target architecture and character set of your plugin.

You should include the header like so:

#include <nsis/pluginapi.h>

By default the include and library files of the nsis plugin api are
installed in the standard search paths of the recommended win32 cross
compiler package. An excerpt of a Makefile would look like the
following for this case:

# --- cut ---
ARCH = x86
CHARSET = unicode

CC=i686-w64-mingw32-gcc

LDFLAGS += -L$(abspath $(shell $(CC) -print-file-name=nsis))
LDFLAGS += -lpluginapi-$(ARCH)-$(CHARSET)
# --- cut ---

If that is not the case then the include and library path need to be
explicitly specified for example in a Makefile such as:

# --- cut ---
ARCH = x86
CHARSET = unicode

ifneq (,$(filter amd64,$(ARCH)))
	ARCH_PREFIX = x86_64
else
	ARCH_PREFIX = i686
endif

CPPFLAGS += -I $(shell dpkg-query -L nsis-pluginapi \
		| sed -n '/.*$(ARCH_PREFIX).\+\/include$$/p')

LDFLAGS += -L $(shell dpkg-query -L nsis-pluginapi \
		| sed -n '/.*$(ARCH_PREFIX).\+\/lib\/nsis$$/p')
LDFLAGS += -lpluginapi-$(ARCH)-$(CHARSET)
# --- cut ---