The windows core edition does not have any real windows GUI and therefore the MSI-package needs to be installed using the console.
This guide also applies to Window 2008 Hyper-V Server.
To install the NSclient agent first copy the MSI-package to the local disk.
run the following command:
msiexec /i "Path\PackageName"
You will get a warning message "Warning 1909. Could not create shurtcut Documentation.lnk"
This is OK.
As you perhaps knows the agent doesn't always start, to start the service:
net start nsclientpp
msiexec /x "Path\PackageName"