Loader is the part dedicated to manual loading of a PE. It is automatically added to your executable during the process of conversion (shellcodification). So, when you use pe_to_shellcode, two main things are done to your exe: 
1) the loader is appended
2) the header is modified, to redirect the execution to the loader - thanks to this, after the conversion the PE can be injected and executed starting from its beginning.

Loader is built separately from the main executable.
+ Buiding requires [YASM](https://yasm.tortall.net/)
+ Run `make.bat`, appropriately for 32 and 64 bit version of the loader to compile
+ Run `install.bat`, to copy compiled module into the code directory of the main application. Now the main application can be compiled with the newly created loader.