Your problem lies in compiling ZeroMQ for Windows. You haven't actually gotten to any Erlang yet. Here are some of the clues that tell you this:
Makefile:541: recipe for target 'libzmq.la' failed
This line says there's a problem on line 541 of the Makefile. But in erlzmq2, you can see that neither the main Makefile nor the c_src Makefile (which is what would build libzmq.la) has anything close to that many lines.
make3: * [libzmq.la] Error 2
The [3] means that you're 3 invocations deep into Make. Specifically, you started at the top-level Makefile, which called Rebar, which ran make -C c_src, which downloads ZeroMQ version 3.2.2 and tries to do a ./configure && make
To fix this Unix-style, go into the deps directory of erlzmq2 and figure out how to correctly compile ZeroMQ. Hopefully, you will just need to pass some arguments to configure. Then you can edit c_src/Makefile and set ZMQ_FLAGS to whatever you had to do for configure, clean, and make.
To fix it more Windows-style, follow the Windows build instructions for ZeroMQ. Put the compiled libzmq under deps and just edit the c_src Makefile to a no-op.
Finally, if you don't actually need to run this code on Windows, but are just using Windows as your development environment, I think you'll have the easiest time by running the build inside a Linux VM (not a hard thing at all with tools like Vagrant). Sorry, but Unix is the real system for this stuff; Windows support is an afterthought.