PRECOMPILED: precompile libraries for zmq version 2.0.10 and for the wrappers are available in the libs folder for x86 32 bit architecture on windows and linux. I am not sure if the linux wrapper can be used with any wine version, hmm... 

LINUX users
===========

download/install zeromq 2.0.10
download wine-devel (in ubuntu thats what it is called) 
type make in wrap/linux directory 

Then place zmq_bind.dll.so in metatrader library folder (experts/libary). Rename this to zmq_bind.dll!

WINDOWS users
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download cmake, place it into your path (pick that option in installer)
download/install/compile zeromq. place dll called libzmq.dll somewhere in path, like C:\WIndows\system32. Move zeromq.lib or such over to wrap/windows. type cmake in wrap/windows (note you need to be in microsoft
visual studio command prompt which has all environment variables properly set). Type nmake. place zmq_bind.dll into experts/library folder. 

ALL USERS
=========

Place all files in include directory in metatrader's include directory

A simple example is in examples/script


Credits
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All credits to http://codebase.mql4.com/7147