In version 0.3 of pymatbridge, an additional dependency was added for ZMQ. To install this version, you might therefore need to compile a messenger
mex extensio
Some of the other answers are a little bit outdated, and this can be done much more easily now (still won't be as easy on a Linux system :/). First of all, pymatbridge now includes a binary mex on Windows which is statically linked to libzmq, so you shouldn't actually have to compile anything to get it to work.
However, if you still want to do compile it from source, the process isn't too bad for a dynamically linked library.
1) Install zeromq from the website: http://zeromq.org/distro:microsoft-windows
2) Rename one of the lib/libzmq-*.lib files to libzmq.lib in the ZeroMQ installation directory
3) Add the ZeroMQ bin directory to your path.
4) Edit the messenger/mexw64/local.cfg file in messenger to point to the zeromq install directory (you will need to update both ZMQ_INC and ZMQ_LIB). Also ensure the MATLAB directory is correct.
5) Run make.py matlab
in the messenger directory. This should build messenger.mexw64
A statically linked library is simple in practice, but because zeromq (as of now) does not provide a .lib for static linking with the windows installer, you will need to compile this yourself. After you have a static .lib, build messenger.mexw64 with make matlab --static