I agree it would be nice, but I'm not sure how easy or practical it would be to implement, particularly making sure that NASM is on the PATH.  And besides, at some point, we have to draw the line between what we can reasonably do for a user and what we can reasonably expect a user to do for themselves.  That line falls at minimum after installation of Visual C++ 2010, which would be nearly impossible to properly install from a batch script, and is currently also after installation of NASM and Perl, which are both optional anyway--you can build Python without NASM, you'll just have build errors and won't have SSL support.  I think that's a reasonable place to keep the line: short of trying to install external programs for the user.

I think it would be good to have a nice error/warning message in build.bat if NASM (or MSVC++, for that matter) can't be found, possibly with a URL pointing to where to look for an installer.  Something along the lines of:

"""
where nasm >nul 2>&1

if %ERRORLEVEL% == 1 (
    echo NASM not found on PATH.  It can be downloaded from www.nasm.us
    set /P _continue=Continue without NASM? (y/n)
    if %_continue% == n exit /B 1 else echo Continuing...
)
"""

Does that come anywhere close to scratching your itch?