To "compile" the script you will need NSIS (Nullsoft Scriptable Install System).
Note: To support languages such as Chinese and Russian the Unicode version
of NSIS is required. Starting with NSIS 3.0b1 Unicode support has been
added natively, so there is no need to use the version from anymore.

NSIS homepage and downloads:

To add an additional language, make a new group of strings in the 
LanguageStrings.nsh file, and then insert 
'!insertmacro MUI_LANGUAGE "<Language_name>"' at roughly line 97 
in Win32Script.nsi.

When packaging, make sure that architecture specific files are in two
folders called x64 and x86 respectively. All other files (lua etc) 
should be as they are when checked out, i.e. "../CorsixTH/*".

You can find more information about creating a Windows installer here: