Installing ZeroMQ On Windows - MrYsLab/xideco GitHub Wiki

Although you can build ZeroMQ from source, the easiest way to install is by using a provided MSI installer.

I used this link on Windows 10 64 Bit without issue. It installs both ZeroMQ and PyZMQ.

If you are running a 32 Bit machine, go here and find latest compatible MSI installer for your system.