The promise/premise of maven is that you shouldn't really need any special setup in order to build with it. Unfortunately this doesn't always work out. This project uses at least one plugin that will require a little set-up and it also uses another that you may need some setup for.
This plugin is used to create the installer for the project. The home website of the project is http://mojo.codehaus.org/nsis-maven-plugin/. You will need to have the makensis executable either on the path or you will need to setup maven to be able to find it. See the nsis:compile goal documentation for the plugin. NSIS can be found on http://nsis.sourceforge.net. There should be a copy of the plugin available on the m2-repo site available on this projects website.
This plugin is used to create the exe wrapper for the SceneryConfigEditor. This shouldn't require any setup whatsoever, but you may need to download and install a copy of it into your maven repository. Again it should be available in the m2-repo on this project's website.