Because there is no pre-compiled PHP ZMQ extension after PHP version 7.2 it's necessary to build your own. This is a short review of the process. The PHP ZMQ extension is a wrapper around libzmq which also needs to be built. The steps needed to build libzmq are covered in another gist.
Extensions are PHP version specific as the PHP internals vary from release to release. While it's not necessary to build PHP to build an extension an extension build requires some files from the build of a version of PHP. Because its not difficult to build PHP, why not? By building a version of PHP you can build the extension at the same time.
The steps needed to build PHP are listed in the PHP SDK GitHub repository. For the purposes of this page, after following the steps the working folder will be something like:
.\php-sdk\sdk\php-8.2\vs16\x6