Go to the Sonatype RSO repository and download the following bundles:
- nexus-p2-repository-plugin
- nexus-p2-bridge-plugin
Stop your Nexus instance and copy the downloaded bundles to NEXUS_HOME/nexus/WEB-INF/plugin-repository
Now you are done and can startup Nexus and will have P2 support.
As a first step I highly recommend to mirror/proxy the Eclipse P2 repository:
http://download.eclipse.org/releases/indigo/