For some strange reasons, TeXMaker finds the path to pdflatex, but not the one to makeindex.
The best solution is to specify the full path to makeindex in the corresponding slot of the 'Configure TeXMaker' -> 'Commands' dialog, by writing
"/usr/texbin/makeindex" -s nomencl.ist -t %.nlg -o %.nls %.nlo
-t %.nlg
has been added to generate a .nlg
log file so that it can be distinguished from the normal .ilg
log file that makeindex generates when creating indexes.
Pressing F12 now you will be able to compile your nomenclatures.
If you now want to be able to perform the full compilation cycle and view your finished .pdf
file by just pressing F1, you can configure your 'Quick Build' command, choosing the wizard in the 'Configure TeXMaker' -> 'Quick Build' dialog, and adding, in the following sequence:
PdfLaTeX
Makeindex
PdfLaTeX
Pdf Viewer
In this way one can achieve the same result obtainable with the arara tool (which is anyway a very nice tool) but without its need.
Now, if you press F1 when your MWE is active, you obtain the following result:

Best Answer
(Also check out the MiKTeX tag wiki I just wrote up!)
The hardest part about getting started with LaTeX probably is learning what the different components you need are. Texmaker is an editor, but what actually compiles your source code and creates the document is within a (La)TeX distribution, the most popular of which are MiKTeX (Windows only) and TeX Live (Windows, Linux, OS X (as MacTeX)). You can read about some differences between the two at What are the advantages of TeX Live over MiKTeX?. I've always been using MiKTeX, which seems like a solid choice for a beginner to me. I am, however, considering trying out TeX Live as well.
If you decide in favor of MiKTeX, make sure to install the user mode (you're asked about that during the installation process), not in admin mode. It has nothing to do with multi-account configurations, but rather something network-y related. You can read about it at Difference between administrative and user mode of MiKTeX. But believe me, the user mode will make your life much easier. I wish I would've done it right away. (On another question that might come up before downloading MiKTeX: What is the difference between the basic MiKTeX and the complete MiKTeX?)
Once you installed a distribution, you might have to reinstall Texmaker if you want to avoid having to (find out and) type in all the paths yourself.
As introductory reading for LaTeX, I recommend The Not So Short Introduction to LaTeX2ε, which also has a section about the different parts of a working LaTeX system, if I remember correctly.