I had the same issue too, the problem is exacerbated with the download link now only working for Visual Studio 2017, and installing the package from the download link did nothing for VS2015, although it took up 5gB of space.
I looked everywhere on how to do it with the Nu Get package manager and I couldn't find the solution.
It turns out it's even simpler than that, all you have to do is right-click the project or solution in the Solution Explorer from within Visual Studio, and click "Install Missing Components"