Well, I'm more confident about video games than I am about ZeroMQ, I have to say. But I might imagine on balance of probabilities that this will turn out to be a case of "POSIX and pthreads" ;) - it often is with Unix stuff. (Sadly, Windows ain't POSIX, and it doesn't have pthreads. So... there you go.)

But it's certainly possible that Windows is even more bizarre than I suppose, in ways that I have yet to encounter.