Every NSIS installer is stored in a .nsi file. A NSIS script (.nsi file) contains Installer Attributes and Sections/Functions. You can also use Compiler Commands for compile-time operations. Required is the OutFile instruction, which tells NSIS where to write the installer, and one section.
For more information about NSIS script format see NSIS Scripting reference.

When you use Graphical Installer Wizard for creating Graphical Installer powered installers it will generate such .nsi file. This file represents your installer. It does not matter how exactly this file is called - we call it <project>.nsi.

Graphical Installer powered installer use another file called <project>.graphics.nsh which contains aditional data required for proper initialization of skinning engine. All Graphical Installer powered installers MUST contain these two files (also they must be in the same directory!). If one of this files is missing, the installer will not be skinned properly.

The biggest advantage of Graphical Installer powered installers is the fact that is it really simple to add/remove skinning mechanism from .nsi file. Most of the settings required for skinning engine are stored in <project>.graphics.nsh.