It seems that there is a bug in libzmq 4.2.0 cmake configs that prevents
linking to it without installing.
Solution: disable libzmq 4.2.0 for cmake builds
libzmq build with default settings now which build all the tests and
performance tools. This is not required for cppzmq build and slows down
it only.
Solution: disable tests build for libzmq and make it release only.
There is no need to install libzmq into the system.
Out of source build can be used later to build cppzmq.
Solution: remove install steps and rely more on cmake to handle
directory creation.
