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Nested sampling (NS) is BEAST2 package. If you have not already done so, you can get BEAST 2 from here.
To install NS, it is easiest to start BEAUti (a program that is part of BEAST), and select the menu File/Manage packages. A package manager dialog pops up, that looks something like this:
If the NS package is listed, just click on it to select it, and hit the Install/Upgrade button.
If the NS package is not listed, you may need to add a package repository by clicking the "Package repositories" button. A window pops up where you can click "Add URL" and add "https://raw.githubusercontent.com/CompEvol/CBAN/master/packages-extra.xml" in the entry. After clicking OK, the dialog should look something like this:
Click OK and now NS should be listed in the package manager (as in the first dialog above). Select and click Install/Upgrade to install.