Steps to build are easy:
1. You need to install DevKit from rubyinstaller.org. Instructions for that are in RubyInstaller website wiki:
Note that this means you are installing Ruby. The RubyInstaller project has created this nice little package for bundling MinGW tools, so it's smart to take advantage of it. The tools are 32-bit only so for now these instructions only describe how to install a 32-bit library.
2. Start a command prompt and invoke devkitvars.bat found inside the folder you installed DevKit, this will give you access to MinGW tools.
3. Download ØMQ source somewhere and extract (eg C:\src\zeromq).
4. Compile it using the following commands:
C:\> cd C:\src\zeromq C:\> sh configure --prefix=C:/path/to/zeromq/dir C:\> make
Note the use of forwardslash in the second command. The above commands will take a long time to complete (5 minutes for the "configure" step, another 5 minutes for "make").
5. Copy the resulting DLLs
Now you can copy the DLL from inside /path/to/zeromq/dir/src/.libs/libzmq.dll into a directory in your PATH and use it.
6. Don't forget the additional dependencies
Copy libstdc++-6.dll and libgcc_s_sjlj-1.dll from DevKit MinGW into the same folder you copied libzmq.dll.
To know where these DLLs are, you can use where, eg:
C:\> where libstdc++-6.dll C:\Users\Luis\Tools\DevKit\4.5.1\mingw\bin\libstdc++-6.dll
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