If you want to run NUnit-Tests, you have to setup a MSBuild-Task which you include in your Build-.proj File. If you want to run the VS-Integrated Tests there are preconfigured tasks in the default Build-Script. Samples are (commented out) in your generated Build-.proj-File.
You can generally run whatever you want in your build. It's just a matter of creating the MSBuild-Tasks and integrating them into the existing build-script, which is already extensible in several locations. Describing all of MSBuild is too much to answer here. Please refer to the various Web-Sources about MSBuild.
You need to install whatever is necessary to run the tests on the Build-Machine. NUnit for NUnit-Tests, VS Test Edition for Loadtests and Webtests, and so on.
What you install on any client is of no interest for the Build-Server.