Looks like there is a path hardcoded in the build files causing problems. After some reflection on the msvc/README, renaming the project directory to libzmq (was: zeromq-4.2.2 from the release or libzmq-master from github zip download), and launching cmd.exe using the Developer Command Prompt for VS2015 link, libzmq/builds/msvc/build/build.bat successfully builds all configurations.