Hi, did you have edit zmq? config them in cmake.
go back to cmake, click on Advanced and scroll down bottom and you see ZMQ.
Make sure
ZMQ_INCLUDE_DIR: C:/Program Files (x86)/ZeroMQ 4.0.4/include
ZMQ_LIBRARY: C:/Program Files (x86)/ZeroMQ 4.0.4/lib/libzmq-v120-mt-gd-4_0_4.lib
ZMQ_ROOT_DIR: C:/Program Files (x86)/ZeroMQ 4.0.4
Then configure then generate then recompile