Make sure you have zlib headers set. On many Linux distributions, this is a package called "zlib-devel".
Edit: I just realized that you are using a Windows environment. I have no development experience with Windows, but you will need zlib.h somewhere in your inclusion path. I assume that you only have a DLL file that will allow already compiled programs to use zlib, but will not allow you to compile the source code that refers to it.
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