use the following commands for OSX
$ brew install zmq
$ brew install czmq
use the following commands for Linux (Ubuntu/Debian/Mint)
$ apt-get install libzmq3-dev
$ apt-get install libczmq-dev
After you download the code, open terminal in that folder and run the following commands
$ cmake CMakeLists.txt
You should see CMakeFiles folder and Makefile getting created. Run the next command to build the final executable.
$ make