The author of nzmqt has gone to a lot of trouble to provide extensive documentation for his library, including providing example applications. Have you looked at those?

From what I can see, the nzmqt code itself should be cross-platform because it is a Qt 4.8 binding. However, the problem will be with the dependencies, quoted here from the author's documentation:

So here is the complete list of dependencies:

Qt 4.8.x (or newer): You will need to download and install it yourself.
0MQ 3.2.x: You will need to download and install it yourself.
C++ binding for 0MQ: A script delivered with nzmqt will download the source code and appropriate version itself.
You will have to investigate 0MQ 3.2.x yourself to see if it is platform-independent. That is outside the scope of this forum.