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Download source code of ZeroMQ-2.1.7
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Use mingw+msys to compile
$ sh configure --prefix=c:/zeromq
$ make
$ make install
copy the header & lib to c:\mingw\include_or_lib
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Download source code of luajit-2.0.0-beta7
$ make
$ make install
copy the header & lib to c:\mingw\include_or_lib
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Install cmake-2.8.4-win32-x86
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Download Neopallium-lua-zmq-1.1
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Use cmake+mingw+msys to build
$ mkdir build
$ cd build
$ cmake -G "MSYS Makefiles" -D ZMQ_PATH=c:/zeromq ..
$ make
$ make install
Files zmq.dll, poller.lua and threads.lua are installed in c:\program files\lua-zmq