To build on Anders answer, a few additional things should be done in the latest version. In particular ZIP2EXE_NAME and ZIP2EXE_OUTFILE should be set:
!define ZIP2EXE_COMPRESSOR_ZLIB
!define ZIP2EXE_INSTALLDIR "c:\foo"
!define ZIP2EXE_NAME "My Application"
!define ZIP2EXE_OUTFILE "MyInstaller.exe"
!include "${NSISDIR}\Contrib\zip2exe\Base.nsh"
!include "${NSISDIR}\Contrib\zip2exe\Classic.nsh"
!insertmacro SECTION_BEGIN
File "file1fromzip.txt"
File "file2fromzip.exe"
!insertmacro SECTION_END
Classic.nsh can be replaced with Modern.nsh for the "Modern" UI.
Also note that either the files need to be enumerated in the "File" section, or if you have your files in a folder, you can include the entire contents:
File /r MyFolder\*.*
This will NOT create "MyFolder" inside the install target directory.