Installing and configuring ZMQ:

The following exemples is based on Debian Linux  but it should work in other OS.

First:
Installing 0MQ:
Go to http://zeromq.org/area:download and choose a package according your OS, in my case I've choosed
POSIX tarball Stable Release 4.0.4.

    ~$ tar -xvf zeromq-4.0.4.tar
    ~$ cd zeromq-4.0.4
    ~$ ./configure
    ~$ make
    ~$ sudo make install

 
Ok, we just have installed ZMQ now need install zmq php binding...
Make sure you having php-dev and php pear installed. If no:

    ~$ sudo apt-get install php5-dev php-pear
    ~$ sudo pecl install zmq-beta

Ok, we have now ZMQ and php binding (ext-php) installed but we should add "extension=zmq.so" (Or extension=php_zmq.dll on windows) to php.ini:
In my case:

    ~$ sudo nano /etc/php5/apache2/php.ini

**NOTE:** If PHP version is 5.4.x you will need to add a zmq.ini file in /etc/php5/conf.d and put "extension=zmq.so":

    ~$ sudo nano /etc/php5/conf.d/20-zmq.ini

Reloadind HTTP server (in my case apache): 

    ~$  sudo service apache2 reload

php-zmq is conveniently installable over package managers for linux derivates:
as of February 2020

Debian from version 9 up
https://packages.debian.org/stretch/php/php-zmq

Ubuntu from version 16.04 up
https://packages.ubuntu.com/xenial/php/php-zmq

Fedora 29 and up:
https://rpmfind.net/linux/rpm2html/search.php?query=php-zmq

Thanks to the maintainers, i just tried successfully some examples on Fedora 29 Workstation which worked out of the box.

I have created a gist with the updated procedure to install the ZeroMQ PHP extension on Ubuntu 14.04 with support for CurveZMQ encryption. Here is the link:
https://gist.github.com/Kamisama666/da9ef33b1adf4c6d39ca