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This feature must be activated in your MySite (instructions below).</br>
For more information on getting started with and using Nintex:
Nintex User Manual</br>
Nintex Tutorials and How To's site</br>
Here is how to activate the feature on your My Site:
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Navigate to your Top Site level home page and click “Site Actions > Site Settings”:
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In the right column, “Site Collection Administration”, click “Site Collection Features”:</br>
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In the “Nintex Workflow 2007” section, click the “Activate” button.</br>
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It is now possible to activate Nintex Workflow 2007™ features in team and personal sites. </br>
2. Activating NW2007 in a team site or personal site
From the Top Site level home page, click “Site Actions > Site Settings”</br>Settings”
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In the right column, “Site Administration”, click “Site Features”.</br>
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In the Nintex Workflow 2007™ section, click the “Activate” button.</br>
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Once the feature is enabled, two additional items (Mange Workflows and Create Workflow) will appear in the list settings menu.</br>