On windows you link to .lib not .dll The current Config returns the ZeroMQ_LIBRARY (ALSO Wrong, suppose to be ZeroMQ_LIBRARIES)
ZeroMQ_LIBRARY = C:/Program Files/ZeroMQ/bin/libzmq-v140-mt-gd-4_3_1.dll ZeroMQ_LIBRARY = C:/Program Files/ZeroMQ/lib/libzmq-v140-mt-sgd-4_3_1.lib note the static one is correct for linking,
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