zeromq: add license information

Note that the COPYING.LESSER file states that "Parts of the
software are licensed under the MIT (X11) license".
On the 0MQ mailing list, Pieter Hintjens has confirmed that
the code no longer contains any parts that are under the
MIT/X11 license. (The COPYING.LESSER file will be fixed in
a future release.)

Signed-off-by: Simon Dawson <simond@trainfx.com>
Signed-off-by: Peter Korsgaard <jacmet@sunsite.dk>