I recently was on the same quest.

I was able to install the ZeroMQ binaries and C library with success using the refered installer for Windows. Than i went on a quest to build the perl module ( ZMQ::LibZMQ3 and ZMQx::Class ). No success.

I was able to build some eccentric modules on Windows in the past ( like Finance::TA ), but i was beaten this time. It seems that there are some bugs on the Windows build of ZeroMQ ( not surprised ) that makes the build impossible.

There are open tickets with the developers of ZeroMQ modules to get down on this. Im watching... :-)

I'm sticking with AnyEvent sockets for now.