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
Like discussed in IRC, it's not part of upstream ZMQ. We could add it to our own repo, but it does actually the same.

Maybe we could make a PR with that to upstream. I'd have to check how good it is.