Given that your request mentions trying to "build the library", I suspect this is just a misunderstanding around how Skyline supports NIST libraries in .msp format.
As Nick suggests, Skyline just understands these libraries without needing to "build" them or convert them to the Skyline native library format BLIB. You can use the instructions Nick has provided above. You can also consult the "Using a Public Spectral Library" section of the Targeted Method Editing tutorial on page 11:
In this case, the tutorial uses a .hlf file from theGPM, but the steps are the same for a .msp file from NIST, or a .sptxt file from Peptide Atlas.
Hope this helps.