You do need to install Ghostscript if you want to use Magick.NET to convert EPS files. You can download the installation files from here: http://www.ghostscript.com/download/gsdnld.html. Make sure you install the version of GhostScript with the same platform. If you use the 64-bit version of Magick.NET you should also install the 64-bit version of Ghostscript. You can use the 32-bit version together with the 64-version but you will get a better performance if you keep the platforms the same.
The documentation has been changed to explain this better.