That error means that you either have no gcc (gnu C compiler) installed or it's not in your Path.
If I remember correctly on Nim's download page you can download a .zip file that also includes MingW. Once you have it unzipped there is an .exe (the docu provides the name of that .exe file) that you need to run and that does ask you if you want MingW installed; just answer 'y' (yes) and be sure to also answer 'y' to the question whether the Nim path should be added to your USER path. Then reboot and it should work.
