> which I installed in SysWOW64

Generally it's not a good idea to manually put things in system folders. 
Depending on the path ordering, Julia might be picking this copy up before 
the version that's installed by Julia. Remove the libzmq dll from SysWOW64 
unless you have some really good non-Julia reason for putting it there.

> Also tried WinRPM.install("ZMQ"),but ZMQ was not found..

The package name on WinRPM isn't ZMQ, you'd need to do 
WinRPM.install("zeromq"). Though when you do Pkg.build("ZMQ") that should 
get run automatically.

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