Make sure you have its requirements.(there are alot of 'em)
Tech tree - wise:
Barracks
Factory
Starport
Science Facility with covert ops add on(Be sure to research cloak and ocular implants)
Command Center with nuke silo
Build nuke in the silo(and you need 8 supply units for this)
You should have a ghost, too.
Select a ghost, press 'n' , then select your target.