I give up. If I do a clean install of EDK2 and put NASM in C:\Program Files\Nasm (in Windows) and do :
set WORKSPACE=C:\Isi\Edk2Shell
set NASM_PREFIX=C:\Program Files\Nasm
edksetup
and do a build, I get
c:\isi\edk2shell\Build\EmulatorIA32\DEBUG_VS2015x86\IA32\MdePkg\Library\Base Lib\BaseLib\OUTPUT\Ia32\LongJump.iii:16: fatal: unable to open include file `Nasm.inc'
When I look at the makefile I see that the necessary include directory c:\isi\edk2shell\MdePkg\Include\Ia32 is not in specified.
There is no Conf directory or Build directory when I start this build.