We had an issue once we deployed our .Net 4.0 C# ZeroMQ solution to a Windows Server 2008 instance where the application would freeze up or block, seemingly on the initialization of our ZeroMQ library.
Upon furthter investigation it was discovered that the application was blocking on the construction of each new zmq Context object.
Having exhausted all other alternatives, an internet search revealed a stack overflow post :
http://stackoverflow.com/questions/4718262/zeromq-dllnotfoundexception-using-net-bindings
After installing both the x86 and x64 visual c++ 2010 redistributable packages, the problem went away and ZeroMQ functioned normally.