As stated in the documentation here , you need to add the following code to your script setup.py
setup(
name='nanomsg',
version=__version__,
packages=[str('nanomsg'), str('_nanomsg_ctypes'), str('nanomsg_wrappers')],
data_files=[('lib\\site-packages\\',["C:\\Dev\\external\\nanomsg\\x86\\Release\\nanomsg.dll"])],
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