Right, Nasm does not include a linker and assembles your source code to object files. Strictly speaking, Nasm can be coaxed into building a "hand made" PE header (or ELF executable header, for that matter) in "-f bin" output mode, but it probably isn't what you want to do.
I got confused and was telling you where the CygWin "ld.exe" linker was (which should work(?) with Nasm). You started off talking about VS08, so you probably want to use "link.exe". I'm not sure exactly where to find it - same place as "masm.exe" and the other executables, probably. How do you guys say "locate"?
"find link.exe", probably? Should be somewhere in that VS directory...
There are files in Nasm's "contrib" directory that may help you get Nasm "hooked up" with the rest of it. Sorry I can't be more help.
Best,
Frank