Added Multithreading sample according to ZeroMQ guide (http://zguide.zeromq.org/page:all#Multithreading-with-MQ).
I didn't use the inproc protocol because it raises exception. So I used tcp because, as you can read here (http://stackoverflow.com/questions/15386121/does-zeromq-support-ipc-as-a-transport-channel-on-windows/15406728#15406728), Pieter Hintjens said "TCP over localhost gives much the same performance as IPC, on Linux and OS/X and I'd just use that on Windows too."
I leave the lines of code that use inproc protocol commented.