; Create a PE header for the Win32 console subsystem
format PE console
; Create a PE header for the Win32 gui subsystem
format PE gui
; Create an ELF relocatable object file
format elf
; Create an ELF executable
format elf execuable
The Win32 headers you link to are for automatic creation of the import/export tables for Win32. They aren't necessary to create a PE executable, just use the "format PE <type>" line as shown above.
Personally, I switched from NASM to FASM due to the more active development cycle FASM has, the community support, and the generally (IMO) more capable macro facilities offered by FASM. The support for 64-bit apps since FASM 1.64 is also nice :)