Fixed Windows detection of ZeroMQ

Updated instructions for Windows to install ZeroMQ correctly
Specifically making sure to set the environment variables:
CMAKE_LIBRARY_PATH (to find the external dependency libraries)
CMAKE_INCLUDE_PATH (to find the external dependency include files)
PATH (to find the external dependency dll's)

Also made sure find_library() finds Windows version of ZeroMQ library
Removed unnecessary copying of dll's from Cmake files
Not necessary. Fail or no message is a good pattern.