Can soneone, please help me to build the solution SharePointPnP.PowerShell? Is there a good manual with the steps? I am probably missing something related to the nuGet packages. But not sure what.
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Soltion should build with no errors.

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I had the same issue, it is because you are missing the debug build of the PnP-Sites-Core project which PnP-PowerShell heavily depends on.
See this section https://github.com/SharePoint/PnP-PowerShell/blob/master/CONTRIBUTING.md#code-contributions
In order to succesfully compile the PnP PowerShell solution you will also have to download and build in Visual Studio the PnP-Sites-Core repository and make the dev branch available. The PowerShell solution depends on it. In order to succesfully compile it, make sure that PnP-Sites-Core is located at the same level as PnP-PowerShell and you open the solution file OfficeDevPnP.Core.sln located in the Core subfolder of the sourcecode.
Clone this repo, build it using the relevant build task for your targeted version, go back to Pnp-PowerShell and it should now build successfully 馃憤馃徎
When I get chance I will push some updated contribution steps, as I think it can be and should be much clearer than it currently is.
Thank you @garrytrinder, with your instructions I was able to build the SharePointPnP.PowerShell solution.