How to setup ZeroMQ on Windows to work with OpenPGM?

If I were in your shoes, I would set up OpenPGM on FreeBSD or Ubuntu and have a router process there that takes the messages from the Windows machine and multicasts them. That way, you have a much simpler problem to deal with on Windows, and you will be using one of the preferred platforms for OpenPGM

Almost all the code that you need to handle the routing scenario is already written for you in the 0MQ Guide.