nginx Windows: setting up sites-available configs

The following worked for me but only AFTER I moved my main nginx exe folder from c:/Program Files (x86)/nginx-1.7.0 to c:/nginx-1.7.0 (because I think it doesn't handle spaces in file paths well):

http {
    ...
    include "f:/code/mysite/dev-ops/nginx/dev/mysite.conf";
}

In windows you have to give full path of the directory where the config files are located. There are two files to update: nginx.conf, which tells nginx where to find web sites, and localhost.conf, which is the configuration for a web site.

It is assumed that nginx is installed in C:\nginx. If the installation directory is at another path, you will have to update that path accordingly, wherever it appears in the following two configuration files.

nginx.conf

Location: C:\nginx\conf

worker_processes  1;
events {
    worker_connections  1024;
}
http {
    include       mime.types;
    default_type  application/octet-stream;
    #to read external configuration.
    include "C:/nginx/conf/sites-enabled/*.conf";
}

localhost.conf

Location: C:\nginx\conf\sites-enabled

server {
        listen       80;
        server_name  localhost;
        location / {
            root   html;
            index  index.html index.htm;
        }
        error_page   500 502 503 504  /50x.html;
        location = /50x.html {
            root   html;
        }
}

The "sites-enabled" approach as used by some Linux packages of nginx utilize include directive, which understands shell wildcards, see http://nginx.org/r/include. You may use it in your own config as well, e.g.

http {
    ...
    include /path/to/sites/*.conf;
}

Note though that such approach might be very confusing (in particular, it would be hard to tell which server{} is the default one unless you use default_server explicitly).

Till the time of writing this answer (7 Jan 2022) non of the other answers fully answer this question.
Wildcards (include a/*.b) just include a list of vhosts which cannot be disabled/enabled. sites-enabled and sites-available is about being able to disable a vhost without deleting the corresponding config file.
Nginx has only one config file (nginx.conf), which in turn includes other files. The ability to include files is what led to enabled/available design. So the directory structure goes as follows:

conf // or whatever
|__nginx.conf
|__sites-enabled
|____default // symlink to sites-available/default.conf
|__sites-available
|____default.conf // You can omit the extension but I just like it
|____whatever.conf
|____some vhost.conf
|____another vhost.conf
|____disabled vhost.conf
|____other config files ...

# nginx.conf
http {
  # ...
  include path/to/sites-enabled/*; # include the enabled ones
}

In windows (cmd) you do:

mklink Link Target
# for example
mklink default X:/path/to/nginx/conf/sites-available/default.conf

Many think that windows doesn't have symlinks, it does :-)

I use a slightly more complex config directory structure, for development:

conf/
|__nginx.conf
|__sites-enabled/
|____some-site // sites-available/some-site/{env} where {env} is either dev or prod
|__sites-available/
|____some-site/
|______prod.conf
|______dev.conf
|______dev/
|________www.conf // vhost (server {}) for the www subdomain
|________api.conf // same as above but for the api subdomain
|________root.conf // vhost for the top level domain (e.g example.com without any subdomain prefix)
|______prod/
|________www.conf
|________api.conf
|________root.conf
|______snippets/
|________http.conf  // listen on ipv4 80/ipv6 80 and redirect http to https
|________https.conf // listen on ipv4 443 ssl/ipv6 443 ssl and `include`s ssl.conf
|________ssl.conf  // ssl config, pay attention to permission