I have the following code in my parse file:
<mysource_area id_name="home_page_links" design_area="nest_content">
<mysource_set name="type_codes" value="mysource_files/home_page_links" />
</mysource_area>
(where 'home_page_links' is a normal page with only the content i wish to nest)
I am confused about the value="" , What should the path be here if i am refering to another page within the CMS? or should the information i am nesting not be in another page but a text file or something?
Once you create the design with that parse file, you'll have to make a customisation of the design, and customise that design area. After you customise it, you'll be able to go to the nest_content customisation and select an asset to nest.
As for that value="", I have no idea 
Nest Content is basically just for nesting other assets from the Matrix system, rather than external files.
The MySource_SET shown there should contain a space-separated list of type codes for what you want to be able to nest. If you are nesting a page then the value should be 'page' - it picks up all its children. For example this should be in the design file if that is what you want:
<MySource_AREA id_name="home_page_links" design_area="nest_content">
<MySource_SET name="type_codes" value="page" />
</MySource_AREA>
Then you go through the design customisation process as Marcus has said above me, in detail this is (and I wish I had screenshots but I am currently short on time to provide this
):
1/ enter the customisations screen for the design, acquire all locks if necessary (if you see a 'Lock' and a 'Release Locks' button, you haven't got all the locks necessary - so lock the rest)
2/ check the box next to the 'new customisation's name' checkbox and enter a name if desired, commit
3/ click on the new customisation (whose name should be linked) to enter it, then lock it
4/ go down to the design area list on this page, and check the 'Customise' box in the line for home_page_links, commit
5/ the text "home_page_links" should now be linked, click that to access the design area
6/ You should now be in the design area, and there should be an asset finder option called 'Nested Asset' - this is where you select the asset you want to nest. It will only allow you to pick from the type codes (and their descendants) that you set in the parse file above - hence the need for that to be set correctly.
Hopefully all that helps, please don't hesitate to reply if you're having problems with the above procedure 
Thanks for that guys - works great!